UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-05349
Goldman Sachs Trust
(Exact name of registrant as specified in charter)
71 South Wacker Drive, Chicago, Illinois 60606
(Address of principal executive offices) (Zip code)
| Caroline Kraus, Esq. | Copies to: | |
| Goldman, Sachs & Co. | Geoffrey R.T. Kenyon, Esq. | |
| 200 West Street | Dechert LLP | |
| New York, New York 10282 | 100 Oliver Street | |
| 40th Floor | ||
| Boston, MA 02110-2605 |
(Name and address of agents for service)
Registrant’s telephone number, including area code: (312) 655-4400
Date of fiscal year end: October 31
Date of reporting period: October 31, 2016
| ITEM 1. | REPORTS TO STOCKHOLDERS. |
| The Annual Report to Shareholders is filed herewith. |
Goldman Sachs Funds
| Annual Report | October 31, 2016 | |||
Dividend Focus Funds | ||||
Income Builder | ||||
Rising Dividend Growth | ||||
Goldman Sachs Dividend Focus Funds
| n | INCOME BUILDER |
| n | RISING DIVIDEND GROWTH |
TABLE OF CONTENTS | ||||
Investment Process — Income Builder | 1 | |||
Portfolio Management Discussion and Performance Summary — Income Builder | 2 | |||
Portfolio Management Discussion and Performance Summary — Rising Dividend Growth | 14 | |||
Schedules of Investments | 22 | |||
Financial Statements | 36 | |||
Financial Highlights | 40 | |||
Notes to Financial Statements | 44 | |||
Report of the Independent Registered Public Accounting Firm | 62 | |||
Other Information | 63 | |||
| NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
GOLDMAN SACHS INCOME BUILDER FUND
What Differentiates Goldman Sachs’
Income Builder Fund Investment Process?
Income Builder Fund is a broadly diversified portfolio that seeks to provide income and capital appreciation.
The Goldman Sachs Income Builder Fund provides exposure to the wealth-building opportunities of stocks and the regular income potential of bonds. The Fund invests in both equity and fixed income securities with a focus on yield enhancing strategies to earn a monthly income stream. The Fund seeks to maintain broad exposure to equities with lower than general equity market volatility.
We believe that similar themes can perform differently across asset classes. The Fund can potentially take advantage of these cross-asset class opportunities as it is a dynamic portfolio that allows the flexibility to allocate across equities and fixed income from a top-down perspective, given our views on macro opportunities and valuations.
In our risk management process, we identify, monitor and measure a fund’s risk profile. We consider the risk relative to the benchmark and the fund’s investment goal to seek income stability and capital growth.
The Fund’s portfolio comprises the ideas of two experienced Goldman Sachs investment groups:
Global Fundamental Equity Group: A group of investment professionals averaging over 17 years of investment experience and with a strong commitment to fundamental research.
Global Fixed Income Group: Broad, deep capabilities across global fixed income markets, with a total return investment philosophy.
1
PORTFOLIO RESULTS
Goldman Sachs Income Builder Fund
Investment Objective
The Goldman Sachs Income Builder Fund seeks to provide income and capital appreciation.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Fundamental Equity Team and the Goldman Sachs Fixed Income Investment Management Team, collectively the Goldman Sachs Income Builder Team (the “Income Builder Team”), discuss the Goldman Sachs Income Builder Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2016 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional, IR and R6 Shares generated average annual total returns, without sales charges, of 3.04%, 2.25%, 3.42%, 3.28% and 3.38%, respectively. These returns compare to the 6.35% and 8.90% average annual total returns of the Russell 1000® Value Index (with dividends reinvested) (the “Russell Index”) and the Bank of America Merrill Lynch BB to B U.S. High Yield Constrained Index (the “BofA Merrill Lynch Index”), respectively, during the same period. |
| Q | What economic and market factors most influenced the equity and fixed income markets as a whole during the Reporting Period? |
| A | U.S. equities generated a positive return for the Reporting Period overall. Federal Reserve (“Fed”) monetary policy and economic data were among the biggest themes dominating the U.S. equity markets during the Reporting Period. |
| After leaving the targeted federal funds rate unchanged at its September and October 2015 policy meetings, the Fed voted unanimously for a 25 basis point interest rate increase in December 2015, a move largely expected by the markets. (A basis point is 1/100th of a percentage point.) However, the fairly dovish language in the announcement, which emphasized “gradual” future adjustments to policy, helped to somewhat assuage the markets. (Dovish language tends to imply lower interest rates; opposite of hawkish.) |
| At the beginning of 2016, U.S. equities were embroiled in a rout that encompassed the broad global equity market, triggered by investor concerns of an intensifying economic slowdown in China and exacerbated by an oil price plunge. In its January 2016 policy statement, the Fed acknowledged these external risks and tightening financial conditions. U.S. equity markets stabilized in mid-February 2016, as market sentiment improved on the more dovish tone set by global central banks broadly. U.S. equities were also supported by stronger economic data, rallying as the fourth quarter 2015 U.S. Gross Domestic Product (“GDP”) came in above market expectations. In March 2016, the Fed kept interest rates on hold and surprised on the dovish side, reducing its forecast to two hikes in 2016, down from four. Along with receding global economic concerns, the dovish forecast helped to drive a recovery in U.S. equities. |
| Market sentiment appeared to remain sanguine in April 2016, as oil prices rose and China economic growth concerns abated with modestly improving economic data. However, U.S. equities fell near the end of April 2016, as investors were disappointed by a lack of additional stimulus from the Bank of Japan (“BoJ”) and by first quarter 2016 U.S. GDP that was weaker than expected at 0.5%. In May 2016, weaker payroll data drove market expectations for a Fed interest rate hike during June 2016 temporarily lower, but subsequent hawkish Fed minutes revived market expectations. The Fed ultimately held interest rates steady and signaled a slower pace of hikes, acknowledging the slowdown in the labor market. During June 2016, investors were focused on the U.K. referendum about whether to leave the European Union. Late in the month, after the surprise “leave” result, popularly known as Brexit, U.S. equities declined amid a broad global sell-off. The market later rebounded, owing to improving risk appetite, as investors digested the outcome and on dovish remarks from Bank of England (“BoE”) Governor Mark Carney. |
U.S. equities were further buoyed in July 2016 by strong economic data and corporate earnings, though uncertainty generally increased following the Brexit vote. In her Jackson Hole speech toward the end of July 2016, Fed Chair Janet |
2
PORTFOLIO RESULTS
Yellen acknowledged that the case for an interest rate hike had strengthened in recent months. Along with strong labor data and other hawkish comments from the Fed, Yellen’s speech significantly increased market expectations of an interest rate hike by year-end 2016, leading to a selloff in U.S. equities. In early September 2016, U.S. equities declined as the European Central Bank (“ECB”) disappointed markets with its lack of commitment to extending monetary easing beyond March 2017. However, U.S. equities rebounded after the Fed decided to leave interest rates unchanged. In October 2016, a combination of hawkish Fed commentary and stronger U.S. economic data heightened market expectations of a December 2016 rate hike. Third quarter 2016 U.S. GDP increased at a 2.9% annualized rate, higher than consensus expectations and the strongest growth rate in two years. |
| Within the fixed income markets, spread (or non-Treasury) sectors advanced for the Reporting Period overall. They started off on a positive note, performing well during November and December 2015. Spread sectors then sold off in January 2016 through mid-February 2016. The selloff was driven by an increase in a number of potential risks, such as slowing Chinese economic activity, the possibility of persistent oil oversupply and concerns about the effect of negative interest rates on the banking system after the BoJ surprised markets by cutting interest rates into negative territory. Some of these risks eased in the second half of the first quarter of 2016, as economic news from China improved, U.S. oil production showed signs of slowing and commodity prices appeared to stabilize. As a result, spread sectors largely retraced their earlier losses by the end of March 2016. |
| During the second quarter of 2016, spread sectors rallied on stabilization of commodities prices as well as on declining fears about slowing Chinese economic growth and the potential for a U.S. economic recession. Global interest rates broadly declined amid continued accommodative monetary policy from the world’s central banks. In the U.S., minutes from the Fed’s April 2016 policy meeting, released in mid-May 2016, suggested to many observers that policymakers might raise interest rates in June 2016 if U.S. economic growth strengthened, employment data firmed and inflation rose toward the Fed’s 2% target. In early June 2016, however, the release of weak May 2016 employment data raised concerns about the health of the U.S. economy, pushing down market expectations of a Fed interest rate hike. Indeed, the Fed did not raise interest rates at its June 2016 policy meeting. In the last week of June 2016, Brexit renewed investor uncertainty about the path of global economic growth. Spread sectors withstood the “leave” vote relatively well, selling off at first but then recovering most of their losses afterwards. |
| During the third calendar quarter and through the end of the Reporting Period, spread sectors generally advanced. Overall, global interest rates remained low, as the world’s central banks remained broadly accommodative. However, the Fed’s July 2016 policy statement was more hawkish than most observers expected, reflecting cautious optimism amid the market’s relatively muted reaction to the Brexit outcome and strengthening U.S. economic data. The July 2016 U.S. non-farm payrolls report showed 255,000 new jobs added, exceeding market expectations and countering a disappointing second quarter 2016 U.S. GDP report that showed growth of 1.2%. In the Eurozone, the ECB kept interest rates unchanged during July 2016. The BoJ, meanwhile, fell short of market expectations with the announcement of an equity purchase program and the lack of key monetary measures, such as an interest rate cut and increased government bond purchases. In August 2016, the BoE unveiled a “timely, coherent and comprehensive package,” as described by Governor Mark Carney, which included a number of measures intended to help the U.K. economy navigate a post-Brexit environment. Although the ECB kept monetary policy unchanged that same month, the European and U.K. credit markets received support from the ongoing corporate bond purchases of central banks. In the U.S., non-farm payroll gains moderated in August 2016 and manufacturing and services data weakened, but continued hawkish comments from the Fed boosted market expectations of a rate hike by the end of 2016. However, at its September 2016 policy meeting, the Fed kept short-term interest rates unchanged. In Japan, the BoJ announced a new “yield curve control” framework designed to steepen Japan’s government bond yield curve and alleviate the impact on financial institutions of low longer-term rates. (Yield curve is a spectrum of maturities.) During October 2016, the ECB kept monetary policy unchanged and offered little guidance on the possibility of an extension to its asset purchase program. Other central banks, including those in Australia, Canada and Sweden, also kept policy rates unchanged at their October 2016 meetings. In the U.S., the October 2016 non-farm payroll report indicated 161,000 new jobs were added, below market consensus, although August and September 2016 figures were revised upwards. |
3
PORTFOLIO RESULTS
| Q | What enhancements were made to the Fund’s investment strategies during the Reporting Period? |
| A | At a meeting held on April 13-14, 2016, the Board of Trustees of the Goldman Sachs Trust approved certain enhancements to the Fund’s investment strategies, consistent with its investment objective and overall investment approach. Beginning on July 12, 2016, the Fund sought to generate additional cash flow and potentially reduce volatility by sales of call options on the S&P 500® Index or other regional stock market indices (or related exchange traded funds (“ETFs”)). |
| Q | What was the Fund’s asset allocation positioning during the Reporting Period? |
| A | As part of its principal investment strategies, the Fund has a baseline allocation of 60% to fixed income securities and 40% to equity securities, though in seeking to meet its investment objective, the Fund has the flexibility to opportunistically tilt the allocation to fixed income and equity securities up to 15% above or below that baseline allocation. The Fund seeks to provide a high and stable income stream plus capital appreciation, with lower volatility than the equity market. The percentage of the portfolio invested in equity and fixed income securities will vary from time to time as the Income Builder Team evaluates such securities’ relative attractiveness based on, among other factors, income opportunities, market valuations, economic growth and inflation prospects. Because of these stated goals of the Fund, the Income Builder Team believes the returns of the Russell Index and the BofA Merrill Lynch Index should be considered for reference only. |
| At the beginning of the Reporting Period, the Fund was invested 39.4% in equities and 55.2% in fixed income, with the balance of 5.4% in cash and cash equivalents. During the Reporting Period, we gradually reduced the Fund’s overall exposure to equities because of our increasing concerns about the global economy and equity market volatility. Within the Fund’s fixed income allocation, we favored investment grade corporate bonds, becoming more tactical in our management of the Fund’s positions amid elevated concerns about commodity price volatility and market activity suggesting the U.S. was in the later stages of the credit cycle. We also remained cautiously positive on high yield corporate bonds, with a focus on increasing the credit quality of the Fund’s holdings. At the end of the Reporting Period, the Fund was invested 36.5% in equities and 61.9% in fixed income, with the balance of 1.6% in cash and cash equivalents. |
| Q | What was the Fund’s 12-month distribution rate and what was its 30-day SEC yield during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional, IR and R6 Shares provided 12-month distribution rates of 3.70%, 3.05%, 4.00%, 3.87% and 4.01%, respectively. As October 31, 2016, the Fund’s 30-day SEC yields (subsidized) for its Class A, C, Institutional, IR and R6 Shares were 3.11%, 2.57%, 3.72%, 3.57% and 3.71%, respectively. |
| Q | What key factors had the greatest impact on the performance of the Fund’s equity allocation during the Reporting Period? |
| A | Relative to the Russell Index, stock selection had the greatest impact on the Fund’s equity allocation during the Reporting Period. The Fund’s call writing strategy, which seeks to generate additional cash flow and potentially reduce volatility by sales of call options on the S&P 500® Index or other regional stock market indices (or related ETFs), bolstered performance. |
| Q | Which equity market sectors most significantly affected Fund performance during the Reporting Period? |
| A | During the Reporting Period, the Fund was hurt by its underweight relative to the Russell Index in the financials sector and its overweight in the health care sector. Its allocation to master limited partnerships (“MLPs”)/energy infrastructure names, which are not represented as a sector in the Russell Index, also detracted from performance. Conversely, the Fund benefited from its underweight position relative to the Russell Index in the energy sector and from its overweight positions in the information technology and utilities sectors. |
| Q | Which stocks detracted significantly from the Fund’s relative performance during the Reporting Period? |
| A | During the Reporting Period, the Fund’s investments in Banco Bilbao Vizcaya Argentaria, a Spain-based banking group; Credit Suisse Group, a Switzerland-based financial services holding company; and Hennes & Mauritz, a Swedish multinational clothing retailer detracted most from performance relative to the Russell Index. |
Shares of Banco Bilbao Vizcaya Argentaria declined, driven by political uncertainty surrounding Spain’s December 2015 elections, which resulted in a hung parliament and weighed |
4
PORTFOLIO RESULTS
on the Spanish financial sector. (A hung parliament is one in which no party has won enough seats to have a majority.) We ultimately decided to exit the Fund’s position in the name, reallocating the proceeds to other opportunities we viewed more positively. |
| Credit Suisse Group’s (“CSG”) stock price was hurt by difficult market conditions during the Reporting Period, with its shares coming under pressure in the fourth quarter of 2015 as the company was in the process of raising equity. CSG finished its rights issue during the second week of November 2015 but performed poorly following weaker than expected fourth quarter 2015 results, which management attributed to efforts to shrink the investment bank and focus on the private bank. (A rights issue is an issue of shares offered at a special price by a company to its existing shareholders in proportion to their holding of old shares.) In our view, CSG’s growth and deleveraging initiatives were challenged by an illiquid credit market and continued fears of a global economic slowdown. The Fund exited the position during the Reporting Period in favor of companies about which we had stronger conviction. |
| Hennes & Mauritz’s (“H&M”) shares retreated on weakness in sales due in part to Easter falling early in the 2016 calendar year and in part to generally adverse weather conditions for retailers overall. Additionally, H&M’s comparable store sales were hurt by unseasonably hot temperatures during September 2016. Despite these challenges, at the end of the Reporting Period, we continued to favor the company as it moderates its investment spending, which should, in our view, help improve margins. In addition, we believed H&M’s announcement that it plans to launch two new store formats in 2017, as well as the potential reduction of its large inventories, could boost the retailer’s outlook in the near term. The Fund maintained a position in H&M at the end of the Reporting Period. |
| Q | Which stocks contributed significantly to the Fund’s relative performance during the Reporting Period? |
| A | The largest positive contributors to the Fund’s relative performance during the Reporting Period were AT&T, Apache and ConocoPhillips. |
| AT&T, a telecommunication services provider, was the top contributor to the Fund’s relative returns. Its shares advanced during the first half of the Reporting Period driven by synergies from its acquisition of DirecTV. Based on the strong performance of the stock price and its gains relative to industry peers, we chose to exit the Fund’s position in AT&T during the Reporting Period and reallocate the proceeds to other opportunities. |
| �� | Another leading positive contributor to the Fund’s relative performance was Apache, a petroleum and natural gas exploration and production company. Its shares rallied as oil prices strengthened during the Reporting Period. We had originally initiated the Fund’s position in Apache because of what we considered to be the company’s investment grade balance sheet and our confidence in the company’s management team. Additionally, we had a positive view on Apache’s positions in the Permian Basin and Eagle Ford Shale as well as the company’s international exposure. We also believed its shares were trading at an attractive valuation relative to its exploration and production peers. After the stock’s strong performance during the Reporting Period, with our investment thesis largely played out, we decided to exit the Fund’s investment in Apache in favor of names that offered, in our view, the potential for more attractive risk-adjusted returns. |
| The Fund benefited from an investment in ConocoPhillips. The exploration and production company’s stock price is tightly correlated with oil prices, which rose during the Reporting Period, driving strong performance. We remained positive about its management’s focus on cost reductions and capital efficiency, which have the goal of keeping production stable. That said, following the stock’s strong performance during the Reporting Period, ConocoPhillips reached our price target, and we exited the Fund’s position, reallocating the assets to companies about which we held more positive views. |
| Q | Were any significant purchases or sales made within the equity allocation of the Fund during the Reporting Period? |
| A | During the Reporting Period, the Fund purchased shares of Verizon Communications, as we believe the telecommunications company has some of the best assets in the industry. We further believe the company can modestly grow should it continue to invest and focus on its strong wireless business. In our view, Verizon is a high quality franchise with solid revenues from its FiOS service, customer growth and improving free cash flow profile. |
We initiated a Fund position in Duke Energy, a regulated utility company and the largest electric power holding company in the U.S. In our view, the company had underperformed relative to its peers, primarily because of its announced acquisition of Piedmont Natural Gas, which the market appeared to view as expensive and possibly an |
5
PORTFOLIO RESULTS
indication of issues with organic growth. (The acquisition was completed in October 2016.) Additionally, Duke Energy’s exposure to Brazil adversely impacted its stock price. Despite these near-term headwinds, we did not think the stock’s relative underperformance was merited over the long term and believed the company would generate earnings growth in line with its peers. |
| In addition to those sales already mentioned, we exited the Fund’s position in PepsiCo, the global beverage and snacks company. Because of its stock’s strong performance during the Reporting Period and as our investment thesis was largely played out, we decided to exit the Fund’s position in favor of opportunities where we saw more attractive risk-adjusted return potential. |
| Q | What changes were made to the Fund’s equity market sector weightings during the Reporting Period? |
| A | During the Reporting Period, we shifted the Fund from an overweight position relative to the Russell Index in the financials sector to an underweight position. We reduced the size of the Fund’s overweight in the telecommunication services sector. We shifted the Fund from an underweight in information technology to a slight overweight. Also, we moved the Fund from relatively neutral positions in health care and utilities to overweight positions. We added an overweight in the real estate sector. (Effective after the market close on August 31, 2016, real estate was reclassified as an eleventh sector within the Global Industry Classification Standard (“GICS”)). At the end of the Reporting Period, the Fund was overweight the health care, utilities, real estate, telecommunication services and information technology sectors, and it was underweight the financials, energy and industrials sectors relative to the Russell Index. Compared to the Russell Index, the Fund was relatively neutrally weighted in the materials, consumer discretionary and consumer staples sectors at the end of the Reporting Period. |
| Q | Which fixed income market sectors significantly affected the Fund’s performance during the Reporting Period? |
| A | Relative to the BofA Merrill Lynch Index, the Fund was hurt by its exposure to high yield corporate bonds within the energy, financials and commercial services/products market segments. On the positive side, the Fund benefited from its overall positioning, as high yield corporate bond spreads (or yield differentials versus duration-equivalent U.S. Treasury securities) tightened between mid-February 2016 and the end of the Reporting Period. In addition, the Fund’s exposure to high yield corporate bonds within the industrial manufacturing market segment added to performance. |
| Q | How did the Fund’s duration and yield curve positioning strategies affect performance during the Reporting Period? |
| A | During the Reporting Period, the Fund’s duration strategy contributed positively to its performance. More specifically, the Fund benefited from its short duration positioning relative to the BofA Merrill Lynch Index, which it held for most of the Reporting Period because we expected the Fed to raise rates before the end of 2016. We shifted the Fund to a neutral duration position in mid-October 2016, given that shorter-term interest rates had risen and U.S. inflation data remained, in our view, surprisingly weak. Duration is a measure of the Fund’s sensitivity to changes in interest rates. We do not actively manage the Fund’s yield curve positioning as part of our investment process. |
| Q | What changes were made to the Fund’s fixed income weightings during the Reporting Period? |
| A | During the Reporting Period, we focused the Fund’s investments on what we considered to be stable and non-cyclical industries, including cable and cellular telecommunications. We also favored financial companies based on our view that their earnings are likely to benefit from a modest increase in U.S. interest rates. We limited investments in cyclical industries, such as energy and metals/ mining, which we considered more sensitive to global economic growth worries. We also invested in high yield loans, as we believe their lower yields relative to high yield corporate bonds are more than offset by their more defensive characteristics, such as yields that float with prevailing interest rates and a senior position in most capital structures. (A senior position in the capital structure means that the debt generally has priority over unsecured or more junior debt when repayments are made by the issuer.) In addition, during the Reporting Period, we increased the Fund’s credit quality by adding positions in BB-rated credits and steadily reducing exposure to CCC-rated credits. |
| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | During the Reporting Period, the Income Builder Team used options as part of the call writing strategy within the Fund’s equity allocation. The use of these options added to the performance of the Fund’s equity allocation during the Reporting Period. In managing the Fund’s fixed income allocation, the Income Builder Team used U.S. Treasury |
6
PORTFOLIO RESULTS
futures and Eurodollar futures to hedge and manage interest rate exposure and to facilitate specific duration and yield curve strategies. Eurodollar futures are contracts that have underlying assets linked to time deposits denominated in U.S. dollars at banks outside the U.S. The use of these derivatives had a negative impact on the performance of the Fund’s fixed income allocation during the Reporting Period. The Fund also utilized forward foreign currency exchange contracts to hedge currency exposure, which had a positive impact on the performance of the Fund’s fixed income allocation during the Reporting Period. |
| Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | Lale Topcuoglu and Andrew Braun no longer served as portfolio managers for the Fund as of May 3, 2016 and June 30, 2016, respectively. By design, all investment decisions for the Fund are performed within a co-lead or team structure, with multiple subject matter experts. This strategic decision making has been the cornerstone of our approach and ensures continuity in the Fund. The portfolio managers for the equity portion of the Fund are Collin Bell, Daniel Lochner and Charles “Brook” Dane. The portfolio managers for the fixed income portion of the Income Builder Fund are Ron Arons and David Beers. |
| Q | What is the Income Builder Team’s tactical view and strategy for the months ahead? |
| A | At the end of the Reporting Period, the Income Builder team believed U.S. equities still looked attractive relative to most other asset classes. That said, we believed returns were likely to be lower in the near term because of slow U.S. economic growth and a scarcity of inexpensive valuations. We also recognized the potential impact of risks stemming from the U.S. election, rising geopolitical tensions and possible changes in global central bank monetary policy. Accordingly, at the end of the Reporting Period, we generally favored high quality, U.S.-oriented companies with what we viewed as strong management teams. Overall, in an environment where we expect lower absolute returns, we believe an active approach will likely be paramount to generating strong risk-adjusted returns. Regardless of market direction, however, fundamental, bottom-up stock selection will continue to drive our process, not headlines or investor sentiment. At the end of the Reporting Period, we maintained high conviction in the companies owned by the equity portion of Fund, and we believed they have the potential to outperform relative to the broader market regardless of the growth environment. We intend to continue to focus on undervalued companies that we believe are in control of their own future, such as innovators with differentiated products, companies with low-cost structures and firms that have been investing in their own businesses and are poised to gain market share. We will maintain our discipline in identifying companies with what we consider to be strong or improving balance sheets, led by quality management teams and trading at discounted valuations, seeking to generate long-term outperformance. |
| In terms of fixed income, the Income Builder Team thought the backdrop for high yield corporate bonds and high yield loans was improving at the end of the Reporting Period. Our view was supported, we believed, by accommodative central bank monetary policies, what we considered “good enough” economic growth and surging commodity prices, which seemed likely, in our opinion, to bolster the broad corporate bond market by dampening volatility and keeping credit spreads contained. (Credit spreads are yield differentials between corporate bonds and U.S. Treasury securities of comparable duration.) Although we observed deterioration in many fundamental measures of creditworthiness consistent with a more advanced stage of the credit cycle, we expected defaults to trend lower in the near term as commodity-related bankruptcies peaked and credit losses remained near credit cycle lows in most other industry sectors. With regard to positioning at the end of the Reporting Period, we continued to increase the Fund’s credit quality by adding BB-rated credits and reducing exposure to CCC-rated credits. We generally favored non-cyclical industries, such as cable and cellular telecommunications, as well as financial companies. At the same time, we remained cautious about increasing the Fund’s exposure to cyclical industries such as energy and metals/mining. We maintained a positive view on high yield loans at the end of the Reporting Period. |
7
FUND BASICS
Income Builder Fund
as of October 31, 2016
| PERFORMANCE REVIEW | ||||||||||||||
| November 1, 2015–October 31, 2016 | Fund Total Return (based on NAV)1 | Russell 1000 Value Index2 | Bank of America Merrill Lynch BB to B U.S. High Yield Constrained Index3 | |||||||||||
| Class A | 3.04 | % | 6.35 | % | 8.90 | % | ||||||||
| Class C | 2.25 | 6.35 | 8.90 | |||||||||||
| Institutional | 3.42 | 6.35 | 8.90 | |||||||||||
| Class IR | 3.28 | 6.35 | 8.90 | |||||||||||
| Class R6 | 3.38 | 6.35 | 8.90 | |||||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Russell 1000® Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000® Index companies with lower price-to-book ratios and lower expected growth values. This index is constructed to provide a comprehensive and unbiased barometer for the large-cap value segment. The Index is completely reconstituted annually to ensure new and growing equities are included and that the represented companies continue to reflect value characteristics. |
| 3 | The BofA Merrill Lynch BB to B US High Yield Constrained Index contains all securities in the BofA Merrill Lynch U.S. High Yield Index rated BB1 through B3, based on an average of Moody’s, S&P and Fitch, but caps issuer exposure at 2%. Index constituents are capitalization-weighted, based on their current amount outstanding, provided the total allocation to an individual issuer does not exceed 2%. Issuers that exceed the limit are reduced to 2% and the face value of each of their bonds is adjusted on a pro-rata basis. Similarly, the face values of bonds of all other issuers that fall below the 2% cap are increased on a pro-rata basis. It is not possible to invest directly in an unmanaged index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
8
FUND BASICS
| PERFORMANCE REVIEW CONTINUED | ||||||||||||||
| November 1, 2015–October 31, 2016 | 12-Month Distribution Rate4 | 30-Day Standardized Subsidized Yield5 | 30-Day Standardized Unsubsidized Yield5 | |||||||||||
| Class A | 3.70 | % | 3.11 | % | 2.99 | % | ||||||||
| Class C | 3.05 | 2.57 | 2.44 | |||||||||||
| Institutional | 4.00 | 3.72 | 3.59 | |||||||||||
| Class IR | 3.87 | 3.57 | 3.44 | |||||||||||
| Class R6 | 4.01 | 3.71 | 3.58 | |||||||||||
| 4 | The 12 month distribution rate is calculated by taking the sum of all cash distributions over the past 12 months and dividing by the month end NAV in the last month of the period. Distributions may include interest from fixed income, dividends from equities, short term and long term capital gains, return of capital, and special distributions. Return of capital distribution may include a return of some or all of the money that an investor invested in Fund shares. Distributions from securities such as MLPs passing through the Fund may also be characterized as return of capital. Special distributions may include any off-cycle distributions that occur outside of regular interest or dividend payment dates, such as when a company opts to pay a special dividend. The amounts and sources of distribution are not provided for tax reporting purposes. The Fund reports the character of distributions for federal income tax purposes each calendar year on Form 1099-DIV. Distributions will fluctuate over time and a large proportion of the distribution may occur at the end of the year in the form of capital gains. Distributions and market value movements affect the NAV of the Fund and will also affect this calculation. 12 month distribution rate numbers are based on historical distributions and NAVs and are not predictive of future distributions or yields. 12 month distribution rate is calculated to provide a sense of the total cash flow associated with investment in the Fund, but should not be confused with SEC yield, dividend yield or interest yield. |
| 5 | The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the SEC and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/ or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical. |
9
FUND BASICS
| STANDARDIZED TOTAL RETURNS6 | ||||||||||||||||||||
| For the period ended 9/30/16 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
| Class A | 1.85 | % | 7.54 | % | 5.03 | % | 6.50 | % | 10/12/94 | |||||||||||
| Class C | 5.97 | 7.95 | 4.84 | 3.92 | 8/15/97 | |||||||||||||||
| Institutional | 8.21 | 9.20 | 6.04 | 5.17 | 8/15/97 | |||||||||||||||
| Class IR | 8.07 | 9.04 | N/A | 8.80 | 8/31/10 | |||||||||||||||
| Class R6 | 8.22 | N/A | N/A | 1.87 | 7/31/15 | |||||||||||||||
| 6 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Class IR and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
| EXPENSE RATIOS7 | ||||||||||
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Class A | 0.98 | % | 1.10 | % | ||||||
| Class C | 1.73 | 1.85 | ||||||||
| Institutional | 0.58 | 0.70 | ||||||||
| Class IR | 0.73 | 0.85 | ||||||||
| Class R6 | 0.56 | 0.69 | ||||||||
| 7 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least February 26, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
10
FUND BASICS
| TOP TEN EQUITY HOLDINGS AS OF 10/31/168 | ||||||||
| Holding | % of Net Assets | Line of Business | ||||||
| Wells Fargo & Co. | 1.7 | % | Banks | |||||
| Verizon Communications, Inc. | 1.5 | Diversified Telecommunication Services | ||||||
| Exxon Mobil Corp. | 1.4 | Oil, Gas & Consumable Fuels | ||||||
| Microsoft Corp. | 1.3 | Software | ||||||
| General Electric Co. | 1.3 | Industrial Conglomerates | ||||||
| Duke Energy Corp. | 1.1 | Electric Utilities | ||||||
| M&T Bank Corp. | 1.1 | Banks | ||||||
| Chevron Corp. | 1.1 | Oil, Gas & Consumable Fuels | ||||||
| Abbott Laboratories | 1.0 | Health Care Equipment & Supplies | ||||||
| Royal Dutch Shell PLC ADR Class A | 0.8 | Oil, Gas & Consumable Fuels | ||||||
| 8 | The top 10 holdings may not be representative of the Fund’s future investments. |
| FUND’S EQUITY SECTOR ALLOCATIONS VS. BENCHMARK9 |
| As of October 31, 2016 |
| 9 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of the total value of the Fund’s Equity investments. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
11
FUND BASICS
| FUND’S FIXED INCOME FUND COMPOSITION10 |
| 10 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of the Fund’s fixed income investments. Short-term investments represent commercial paper and certificate of deposits. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
12
GOLDMAN SACHS INCOME BUILDER FUND
Performance Summary
October 31, 2016
The following graph shows the value, as of October 31, 2016, of a $1,000,000 investment made on November 1, 2006 in Institutional Shares. For comparative purposes, the performance of the Fund’s current benchmarks, the Russell 1000 Value Index and the Bank of America Merrill Lynch BB to B U.S. High Yield Constrained Index, is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class A, Class C, Class IR and Class R6 Shares will vary from Institutional Shares due to differences in class specific fees. In addition to the Investment Adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund.
| Income Builder Fund’s 10 Year Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from November 1, 2006 through October 31, 2016.
| Average Annual Total Return through October 31, 2016 | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A (Commenced October 12, 1994) | ||||||||||||||
Excluding sales charges | 3.04% | 7.31% | 5.34% | 6.72% | ||||||||||
Including sales charges | -2.63% | 6.10% | 4.75% | 6.45% | ||||||||||
| ||||||||||||||
Class C (Commenced August 15, 1997) | ||||||||||||||
Excluding contingent deferred sales charges | 2.25% | 6.51% | 4.56% | 3.87% | ||||||||||
Including contingent deferred sales charges | 1.23% | 6.51% | 4.56% | 3.87% | ||||||||||
| ||||||||||||||
Institutional Class (Commenced August 15, 1997) | 3.42% | 7.75% | 5.77% | 5.12% | ||||||||||
| ||||||||||||||
Class IR (Commenced August 31, 2010) | 3.28% | 7.58% | N/A | 8.59% | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | 3.38% | N/A | N/A | 1.35% | ||||||||||
| ||||||||||||||
13
PORTFOLIO RESULTS
Goldman Sachs Rising Dividend Growth Fund
Investment Objective
The Fund seeks long-term growth of capital and current income.
Portfolio Management Discussion and Analysis
Below, the Dividend Assets Capital portfolio management team, the Fund’s sub-adviser, discusses the Goldman Sachs Rising Dividend Growth Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2016 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional, IR and R Shares generated average annual total returns, without sales charges, of -3.71%, -4.43%, -3.35%, -3.45% and -3.96%, respectively. These returns compare to the 4.50% average annual total return of the Fund’s benchmark, the Standard & Poor’s® 500 Index (with dividends reinvested) (the “S&P 500 Index”), during the same time period. |
| Q | What economic and market factors most influenced the equity markets as a whole during the Reporting Period? |
| A | Global equity markets experienced significant volatility during the Reporting Period, as geopolitical events, central bank policy initiatives, energy market dislocations and the then-upcoming U.S. presidential election each contributed heavily to market uncertainty. Amidst such persistent uncertainty, the underlying U.S. and global economies proved resilient, although economic growth remained benign. |
| Perhaps the most significant geopolitical event during the Reporting Period was the U.K.’s referendum to leave the European Union for which voters cast their ballots in June 2016. Commonly referred to as Brexit, consensus expectations were low that the measure would pass, but the populist movement afoot across the electorate was underestimated and sent shock waves throughout the world. The fallout was significant at first, as global equity markets worked to process the event. However, global equity markets recovered with the realization that it would take several years to fully assess the impact of the historic move. It would also likely prove to be an overhang for the markets for a considerable time, as trade deals, immigration policies, corporate associations and more are addressed. |
| Central banks around the world experienced a tide change during the Reporting Period, as easing monetary policy began to show signs of “pushing on a string,” and policy makers took steps to temper consensus expectations for additional monetary stimulus and, in some cases, even shifted to a tightening stance. (“Pushing on a string” is a term defined as when monetary policy cannot entice consumers into spending more money or investing in an economy, even if monetary policy is eased to put more money into peoples’ hands. This term is often attributed to noted economist John Maynard Keynes.) The U.S. Federal Reserve (the “Fed”) raised interest rates for the first time in almost a decade in December 2015, and the European Central Bank and Bank of Japan signaled to the markets that each was willing to be patient to see how current policies impacted the markets before providing additional stimulus. |
| The energy markets experienced what could only be described as significant price dislocations in the face of a sector recession. Oil prices had begun falling in 2014 and accelerated in 2015, as concerns of a global supply glut led to significant volatility and financial stress within the energy industry. The growth of U.S. production, coupled with Organization of Petroleum Exporting Countries (“OPEC”) desire to maintain market share, created an environment wherein visibility of return on investment led to capital allocation becoming less attractive to many investors. |
Finally, at the end of the Reporting Period, we were one week from election day in the U.S., and while polls were tight, it was still very much up in the air who would walk away victorious. We believe it is important to note that the populist movement that led to a surprise “victory” of the Brexit vote could also be seen influencing the U.S. presidential election. Generally, the electorate is wary of the status quo, and we |
14
PORTFOLIO RESULTS
expected continued political uncertainty to play an important role in the equity markets. |
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | The Fund posted negative absolute returns that underperformed the S&P 500 Index on a relative basis during the Reporting Period. From a broad perspective, stock selection overall detracted most. Sector allocation decisions as a whole also hurt relative results, albeit more modestly. More specifically, material differences between the Fund and the S&P 500 Index included the Fund’s emphasis on dividend growth stocks, and its investment in Master Limited Partnerships (“MLPs”). Both dividend growth stocks and MLPs underperformed the S&P 500 Index during the Reporting Period. (We define dividend growth stocks as equities that have averaged at least 10% growth in annual dividends over 10 consecutive years.1) During the Reporting Period, the portion of the Fund allocated to dividend growth stocks delivered a total return of -3.33%, which underperformed the 4.50% return of the S&P 500 Index. The MLPs in the Fund, with an average weight of 15.10% during the Reporting Period, had a total return of 0.14%, while the Alerian MLP Index2 posted a total return of -1.80%. |
| Q | Which equity market sectors most significantly affected Fund performance? |
| A | Of the sectors within the S&P 500 Index, the largest detractors from Fund performance were health care, consumer discretionary and information technology. While the Fund was prudently allocated to the health care sector, stock selection within the sector proved weak. Both having an overweight to and weak stock selection in the consumer discretionary sector detracted. In information technology, having a significantly underweight position in the sector, which was among the strongest in the S&P 500 Index during the Reporting Period, hurt most. |
| Partially offsetting these detractors were the positive contributions made by positioning in the industrials, materials and consumer staples sectors. The Fund was overweight industrials, and overall performance was supported by both sector allocation and strong security selection. Positioning in the industrial machinery industry within the sector was a key driver of added value. For both materials and consumer staples, the benefits of having overweighted allocations to these strongly performing sectors more than offset weak security selection in each. Having an allocation to cash during the Reporting Period also proved beneficial. |
| Q | Which stocks detracted significantly from the Fund’s performance during the Reporting Period? |
| A | Detracting most from the Fund’s results relative to the S&P 500 Index were positions in pharmaceutical companies Perrigo and Novo-Nordisk and in off-road and on-road vehicle manufacturer Polaris Industries. |
| Perrigo’s shares declined significantly during the Reporting Period, driven by poor financial results, deterioration in pricing for generic drugs, and its Chief Executive Officer’s departure from the company. Novo-Nordisk’s share price decline was mostly driven by pressures in drug pricing that were not overcome by increased volume in new drugs. Additionally, the company traditionally traded at a high price/earnings ratio on the stability of its results; however, during the Reporting Period, its price/earnings ratio compressed to levels more in line with the broader industry following disappointing results. Shares of Polaris Industries declined on a combination of both external and internal factors. The company delivered disappointing investment results due to end-market weakness, including energy and agricultural-related end-markets. In addition, the company experienced recall issues within its off-road vehicle business that led to adjustments to its guidance. This drove some investors to |
| 1 | The Fund’s strategy is to only buy the stocks of companies where the dividend has increased every year for at least ten years at an average rate of approximately 10% per year. Dividends are not guaranteed and a company’s future ability to pay dividends may be limited. |
| 2 | The Alerian MLP Index is the leading gauge of large- and mid-cap energy MLPs. The float-adjusted, capitalization-weighted index, which includes 50 prominent companies and captures approximately 75% of available market capitalization, is disseminated real-time on a price-return basis (AMZ) and on a total-return basis (AMZX). |
15
PORTFOLIO RESULTS
believe the brand had been impaired or that its margins would be negatively affected for the next few years. |
| Q | What were some of the Fund’s best-performing individual stocks? |
| A | The top contributors to the Fund’s relative performance during the Reporting Period were specialty chemicals manufacturer Valspar, packaged foods manufacturer Hormel Foods and industrial products and equipment manufacturer Illinois Tool Works. |
| Valspar’s share price surge during the Reporting Period was driven primarily by news the company had agreed to be acquired by Sherwin Williams (both Fund holdings) in an all-cash transaction. Hormel Foods performed well, as its stock valuation became more attractive to many after investors had seemingly oversold their shares following a quarter that missed consensus expectations. Shares of Illinois Tool Works rose substantially during the Reporting Period, as the company delivered solid results and made progress toward achieving its long-term goals. The company’s consumer-facing businesses were key drivers of its growth during much of the Reporting Period, with many of its industrial-facing businesses returning to growth later in the Reporting Period. As conditions improved, its management increased forward guidance several times during the Reporting Period. |
| Q | How did the Fund use derivatives during the Reporting Period? |
| A | The Fund did not use derivatives during the Reporting Period. |
| Q | Did the Fund make any significant purchases or sales during the Reporting Period? |
| A | We initiated a Fund position in technology giant Microsoft, which represents to us an opportunity to participate in the performance of a leader in the transition to a mobile-first, cloud-first world. We believe Microsoft should be able to leverage its existing enterprise relationships to build on its cloud position. Further, the company’s cloud-based offerings should open new opportunities with small and medium-sized businesses, in our view. We expect Microsoft’s focus on the cloud, along with cost discipline, to lead to solid long-term earnings growth. |
| We established a Fund position in specialty retailer Ross Stores. We expect the company to benefit from consumers seeking value in the off-price channel, a space in which Ross Stores has been a leader. We also believe Ross Stores should be able to execute on its new initiatives to boost margins, expand geographically and gain market share from struggling department stores. |
| We established a Fund position in Buckeye Partners LP, a diversified midstream3 MLP (i.e. a mover of refined products), which, in our view, has excellent defensive characteristics, as it delivered solid financial results that beat consensus expectations even in a challenging energy price environment. Further, its distribution growth is visible; its balance sheet, in our view, is solid with an investment grade credit rating, and the MLP has no incentive distribution rights burden, which significantly reduces its cost of capital. (Incentive distribution rights give a limited partnership’s general partner an increasing share in the incremental distributable cash flow the partnership generates. This occurs alongside of per-unit distribution increases to the limited partners.) We believe Buckeye Partners LP presents an attractive risk/reward profile for long-term investors. |
| Conversely, during the Reporting Period, we sold the Fund’s position in Nestle, as the stock no longer qualified as an investment for the Fund. Although Nestle continued to grow its dividend, its 10-year average dividend growth rate dropped below 10%. Based on the Fund’s investment criteria, which is to invest in companies that grow their respective dividends for at least 10% over 10 consecutive years, we decided to pursue other opportunities. |
| We exited the Fund’s position in NGL Energy Partnership LP, as it was disqualified as a Fund holding after it cut its distribution in April 2016 to protect its balance sheet. We also sold the Fund’s position in luxury retailer Tiffany & Co., as |
| 3 | The midstream component of the energy industry is usually defined as those companies providing products or services that help link the supply side, i.e. energy producers, and the demand side, i.e. energy end-users, for any type of energy commodity. Such midstream business can include, but are not limited to, those that process, store, market and transport various energy commodities. The downstream component of the energy industry is usually defined as the oil and gas operations that take place after the production phase, through to the point of sale. Downstream operations can include refining crude oil and distributing the by-products down to the retail level. By-products can include gasoline, natural gas liquids, diesel and a variety of other energy sources. The upstream component of the energy industry is usually defined as those operations stages in the oil and gas industry that involve exploration and production. Upstream operations deal primarily with the exploration stages of the oil and gas industry, with upstream firms taking the first steps to first locate, test and drill for oil and gas. Later, once reserves are proven, upstream firms will extract any oil and gas from the reserve. |
16
PORTFOLIO RESULTS
we believe near-term execution risks and what we consider to be a full valuation make the stock less attractive. |
| Q | Were there any notable changes in the Fund’s weightings during the Reporting Period? |
| A | During the Reporting Period, we reduced the Fund’s exposure to the consumer staples sector from an overweight to an underweight relative to the S&P 500 Index. Also, the Fund established a weighting in the newly created real estate sector, which was carved out as a separate sector from the financial sector in the S&P 500 Index effective September 2016. |
| Q | How was the Fund positioned relative to its benchmark index at the end of the Reporting Period? |
| A | At the end of October 2016, the Fund had overweighted positions relative to the S&P 500 Index in energy (mostly MLPs), materials, consumer discretionary and industrials. On the same date, the Fund had underweighted positions compared to the S&P 500 Index in consumer staples, real estate, financials, health care and information technology. The Fund had no exposure to the utilities and telecommunication services sectors at the end of the Reporting Period. |
| Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | There were no changes to the Fund’s portfolio management team during the Reporting Period. |
| Q | What is the Fund’s tactical view and strategy for the months ahead? |
| A | At the end of the Reporting Period, we believe we would likely witness a “hangover” effect should global monetary stimulus be reduced and efforts to revive more organic Gross Domestic Product (“GDP”) through capital investment be in focus, as we anticipate. We believe this scenario would require a shift to greater fiscal stimulus measures, which should include an improved regulatory environment and changes to the tax code here in the U.S. |
| In our view, the U.S. economy should remain on stable ground with housing, employment conditions, low interest rates and credit availability providing favorable support. While we believe the consumer will continue to be a primary driver of GDP growth, governmental spending could pick up and provide support if consumer spending weakens. |
| As we approach a more mid-to-late economic and market cycle, we intend to place an emphasis on sector positioning and on investing in market leaders with sustainable earnings growth. We anticipate earnings growth for the market to be fairly anemic and expect the types of companies we invest in to be attractive on a relative and absolute basis. |
| Our outlook for energy infrastructure investment is constructive, and we believe the markets may benefit from greater export activities of oil and gas throughout the world. As global energy markets have experienced a reduction of new production, coupled with continued consumption growth, we look for the supply/demand imbalance to shift, resulting in stable to increasing energy prices. |
| As always, we continue to monitor domestic and global economies, geopolitical factors, interest rates and equity market fundamentals as we actively manage the Fund, with a focus on income through quality in an effort to offer investors the potential for rising income and competitive total returns with lower volatility. |
17
FUND BASICS
Rising Dividend Growth Fund
as of October 31, 2016
| PERFORMANCE REVIEW | ||||||||||
| November 1, 2015–October 31, 2016 | Fund Total Return (based on NAV)1 | S&P 500 Index2 | ||||||||
| Class A | -3.71 | % | 4.50 | % | ||||||
| Class C | -4.43 | 4.50 | ||||||||
| Institutional | -3.35 | 4.50 | ||||||||
| Class IR | -3.45 | 4.50 | ||||||||
| Class R | -3.96 | 4.50 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The S&P 500 Index is the Standard & Poor’s 500 Composite Index of 500 stocks, an unmanaged index of common stock prices. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
| STANDARDIZED TOTAL RETURNS3 | ||||||||||||||||||||
| For the period ended 9/30/16 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
| Class A | 1.22 | % | 9.78 | % | 6.65 | % | 7.13 | % | 3/23/04 | |||||||||||
| Class C | 5.31 | 10.23 | 6.61 | 7.12 | 4/14/05 | |||||||||||||||
| Institutional | 7.57 | 11.49 | N/A | 7.29 | 3/21/07 | |||||||||||||||
| Class IR | 7.37 | N/A | N/A | 8.56 | 2/27/12 | |||||||||||||||
| Class R | 6.83 | N/A | N/A | 8.03 | 2/27/12 | |||||||||||||||
| 3 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. Effective February 27, 2012, the Rising Dividend Growth Fund, a series of Dividend Growth Trust (the “Predecessor Fund”), was reorganized into the Fund. As accounting successor to the Predecessor Fund, the Fund has assumed the Predecessor Fund’s historical performance. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Prior to February 27, 2012 (the effective date of the reorganization of the Predecessor Fund into the Fund), the maximum initial sales charge applicable to sales of Class A Shares of the Predecessor Fund was 5.75%, which is not reflected in the average annual total return figures shown. Because Institutional, Class IR and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
18
FUND BASICS
| EXPENSE RATIOS4 | ||||||||||
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Class A | 1.13 | % | 1.15 | % | ||||||
| Class C | 1.88 | 1.90 | ||||||||
| Institutional | 0.73 | 0.74 | ||||||||
| Class IR | 0.88 | 0.89 | ||||||||
| Class R | 1.38 | 1.39 | ||||||||
| 4 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least February 26, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
| TOP TEN HOLDINGS AS OF 10/31/165 | ||||||||
| Holding | % of Net Assets | Line of Business | ||||||
| EOG Resources, Inc. | 3.4 | % | Oil, Gas & Consumable Fuels | |||||
| The TJX Cos., Inc. | 3.3 | Specialty Retail | ||||||
| Lowe’s Cos., Inc. | 3.2 | Specialty Retail | ||||||
| CVS Health Corp. | 3.1 | Food & Staples Retailing | ||||||
| NIKE, Inc. Class B | 3.1 | Textiles, Apparel & Luxury Goods | ||||||
| Cardinal Health, Inc. | 3.0 | Health Care Providers & Services | ||||||
| Chubb Ltd. | 2.9 | Insurance | ||||||
| The Sherwin-Williams Co. | 2.8 | Chemicals | ||||||
| Canadian National Railway Co. | 2.8 | Road & Rail | ||||||
| Illinois Tool Works, Inc. | 2.8 | Machinery | ||||||
| 5 | The top 10 holdings may not be representative of the Fund’s future investments. |
19
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATION6 |
| As of October 31, 2016 |
| 6 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Short-term investments represent repurchase agreements. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
20
GOLDMAN SACHS RISING DIVIDEND GROWTH FUND
Performance Summary
October 31, 2016
The following graph shows the value, as of October 31, 2016, of a $10,000 investment made on November 1, 2006 in Class A Shares (with the maximum sales charge of 5.5%). For comparative purposes, the performance of the Fund’s benchmark, the S&P 500 Index (with dividends reinvested), is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class C, Institutional, Class IR and Class R Shares will vary from Class A Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund.
| Rising Dividend Growth Fund’s 10 Year Performance |
Performance of a $10,000 Investment, including any applicable sales charges, with distributions reinvested, from November 1, 2006 through October 31, 2016.
| Average Annual Total Return through October 31, 2016 | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A (Commenced March 23, 2004) | ||||||||||||||
Excluding sales charges | -3.71% | 8.46% | 6.48% | 7.19% | ||||||||||
Including sales charges | -8.98% | 7.24% | 5.88% | 6.71% | ||||||||||
| ||||||||||||||
Class C (Commenced April 14, 2005) | ||||||||||||||
Excluding contingent deferred sales charges | -4.43% | 7.66% | 5.85% | 6.66% | ||||||||||
Including contingent deferred sales charges | -5.39% | 7.66% | 5.85% | 6.66% | ||||||||||
| ||||||||||||||
Institutional Class (Commenced March 21, 2007) | -3.35% | 8.88% | N/A | 6.75% | ||||||||||
| ||||||||||||||
Class IR (Commenced February 27, 2012) | -3.45% | N/A | N/A | 7.41% | ||||||||||
| ||||||||||||||
Class R (Commenced February 27, 2012) | -3.96% | N/A | N/A | 6.87% | ||||||||||
| ||||||||||||||
EffectiveFebruary 27, 2012, Rising Dividend Growth Fund (the “Predecessor Fund”) was reorganized into the Fund. As accounting successor to the Predecessor Fund, the Fund has assumed the Predecessor Fund’s historical performance. Therefore, the performance information above is the combined performance of the Predecessor Fund and Fund (except for Class IR and R Shares, which were not offered by the Predecessor Fund).
21
GOLDMAN SACHS INCOME BUILDER FUND
Schedule of Investments
October 31, 2016
Shares | Description | Value | ||||||
| Common Stocks – 35.3% | ||||||||
| Aerospace & Defense – 0.4% | ||||||||
| 93,267 | United Technologies Corp. | $ | 9,531,887 | |||||
|
| |||||||
| Air Freight & Logistics – 0.4% | ||||||||
| 74,384 | United Parcel Service, Inc. Class B | 8,015,620 | ||||||
|
| |||||||
| Auto Components – 0.2% | ||||||||
| 59,349 | Delphi Automotive PLC | 3,861,839 | ||||||
|
| |||||||
| Banks – 3.6% | ||||||||
| 250,250 | JPMorgan Chase & Co. | 17,332,315 | ||||||
| 198,137 | M&T Bank Corp. | 24,317,354 | ||||||
| 771,947 | Wells Fargo & Co. | 35,517,282 | ||||||
|
| |||||||
| 77,166,951 | ||||||||
|
| |||||||
| Biotechnology – 0.3% | ||||||||
| 91,910 | Gilead Sciences, Inc. | 6,767,333 | ||||||
|
| |||||||
| Capital Markets – 0.4% | ||||||||
| 269,036 | Morgan Stanley | 9,031,539 | ||||||
|
| |||||||
| Chemicals – 0.7% | ||||||||
| 107,011 | E.I. du Pont de Nemours & Co. | 7,361,287 | ||||||
| 67,742 | Praxair, Inc. | 7,929,878 | ||||||
|
| |||||||
| 15,291,165 | ||||||||
|
| |||||||
| Communications Equipment – 0.7% | ||||||||
| 502,295 | Cisco Systems, Inc. | 15,410,411 | ||||||
|
| |||||||
| Consumer Finance – 0.7% | ||||||||
| 209,826 | American Express Co. | 13,936,643 | ||||||
|
| |||||||
| Diversified Telecommunication Services – 1.5% | ||||||||
| 658,986 | Verizon Communications, Inc. | 31,697,227 | ||||||
|
| |||||||
| Electric Utilities – 3.0% | ||||||||
| 306,718 | Duke Energy Corp. | 24,543,574 | ||||||
| 470,169 | FirstEnergy Corp. | 16,122,095 | ||||||
| 309,731 | Iberdrola SA ADR | 8,430,878 | ||||||
| 45,777 | NextEra Energy, Inc. | 5,859,456 | ||||||
| 138,524 | PG&E Corp. | 8,605,111 | ||||||
|
| |||||||
| 63,561,114 | ||||||||
|
| |||||||
| Electrical Equipment – 0.3% | ||||||||
| 110,882 | Emerson Electric Co. | 5,619,500 | ||||||
|
| |||||||
| Electronic Equipment, Instruments & Components – 0.2% | ||||||||
| 62,324 | TE Connectivity Ltd. | 3,918,310 | ||||||
|
| |||||||
| Energy Equipment & Services – 0.4% | ||||||||
| 121,601 | Schlumberger Ltd. | 9,512,846 | ||||||
|
| |||||||
| Equity Real Estate Investment Trusts (REITs) – 1.8% | ||||||||
| 65,908 | AvalonBay Communities, Inc. | 11,282,132 | ||||||
| 161,960 | Brixmor Property Group, Inc. | 4,117,023 | ||||||
| 425,446 | DDR Corp. | 6,505,069 | ||||||
| 33,975 | Federal Realty Investment Trust | 4,934,189 | ||||||
| 97,401 | Mid-America Apartment Communities, Inc. | 9,033,943 | ||||||
| 47,467 | Post Properties, Inc. | 3,122,854 | ||||||
|
| |||||||
| 38,995,210 | ||||||||
|
| |||||||
| Food & Staples Retailing – 0.6% | ||||||||
| 171,244 | Wal-Mart Stores, Inc. | 11,990,505 | ||||||
|
| |||||||
Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Food Products – 0.3% | ||||||||
| 130,562 | Campbell Soup Co. | $ | 7,094,739 | |||||
|
| |||||||
| Health Care Equipment & Supplies – 1.0% | ||||||||
| 535,335 | Abbott Laboratories | 21,006,545 | ||||||
|
| |||||||
| Health Care Providers & Services – 0.5% | ||||||||
| 70,072 | Aetna, Inc. | 7,522,229 | ||||||
| 47,843 | Cardinal Health, Inc. | 3,286,336 | ||||||
|
| |||||||
| 10,808,565 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure – 0.6% | ||||||||
| 110,290 | McDonald’s Corp. | 12,415,345 | ||||||
|
| |||||||
| Household Products – 0.8% | ||||||||
| 87,717 | Kimberly-Clark Corp. | 10,035,702 | ||||||
| 81,409 | The Procter & Gamble Co. | 7,066,301 | ||||||
|
| |||||||
| 17,102,003 | ||||||||
|
| |||||||
| Industrial Conglomerates – 1.3% | ||||||||
| 937,927 | General Electric Co. | 27,293,676 | ||||||
|
| |||||||
| Insurance – 1.5% | ||||||||
| 84,934 | Arthur J. Gallagher & Co. | 4,096,367 | ||||||
| 115,870 | MetLife, Inc. | 5,441,255 | ||||||
| 191,441 | The Hartford Financial Services Group, Inc. | 8,444,463 | ||||||
| 433,199 | XL Group Ltd. | 15,032,005 | ||||||
|
| |||||||
| 33,014,090 | ||||||||
|
| |||||||
| Media – 0.7% | ||||||||
| 182,507 | Comcast Corp. Class A | 11,282,583 | ||||||
| 86,663 | Viacom, Inc. Class B | 3,255,062 | ||||||
|
| |||||||
| 14,537,645 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels – 4.3% | ||||||||
| 368,834 | BP PLC ADR | 13,112,049 | ||||||
| 224,764 | Chevron Corp. | 23,544,029 | ||||||
| 351,627 | Exxon Mobil Corp. | 29,297,562 | ||||||
| 259,219 | Magnum Hunter Resources Corp. PI(a)(b)(c) | 3,185,801 | ||||||
| 196,976 | Plains All American Pipeline LP | 5,980,191 | ||||||
| 351,122 | Royal Dutch Shell PLC ADR Class A | 17,489,387 | ||||||
|
| |||||||
| 92,609,019 | ||||||||
|
| |||||||
| Personal Products – 0.5% | ||||||||
| 231,656 | Unilever NV | 9,687,854 | ||||||
|
| |||||||
| Pharmaceuticals – 2.9% | ||||||||
| 33,016 | Allergan PLC(a) | 6,898,363 | ||||||
| 104,529 | Bristol-Myers Squibb Co. | 5,321,571 | ||||||
| 141,500 | Johnson & Johnson | 16,412,585 | ||||||
| 199,601 | Merck & Co., Inc. | 11,720,571 | ||||||
| 433,868 | Pfizer, Inc. | 13,757,954 | ||||||
| 230,830 | Sanofi ADR | 8,976,979 | ||||||
|
| |||||||
| 63,088,023 | ||||||||
|
| |||||||
| Road & Rail – 0.5% | ||||||||
| 110,307 | Union Pacific Corp. | 9,726,871 | ||||||
|
| |||||||
| 22 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INCOME BUILDER FUND
Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Semiconductors & Semiconductor Equipment – 0.7% | ||||||||
| 227,436 | Intel Corp. | $ | 7,930,693 | |||||
| 116,586 | QUALCOMM, Inc. | 8,011,790 | ||||||
|
| |||||||
| 15,942,483 | ||||||||
|
| |||||||
| Software – 1.8% | ||||||||
| 462,640 | Microsoft Corp. | 27,721,389 | ||||||
| 297,806 | Oracle Corp. | 11,441,706 | ||||||
|
| |||||||
| 39,163,095 | ||||||||
|
| |||||||
| Specialty Retail – 0.2% | ||||||||
| 621,346 | Hennes & Mauritz AB ADR | 3,464,004 | ||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals – 0.7% | ||||||||
| 135,786 | Apple, Inc. | 15,417,142 | ||||||
|
| |||||||
| Tobacco – 0.9% | ||||||||
| 61,350 | Altria Group, Inc. | 4,056,462 | ||||||
| 404,894 | Japan Tobacco, Inc. ADR | 7,737,524 | ||||||
| 151,009 | Reynolds American, Inc. | 8,317,576 | ||||||
|
| |||||||
| 20,111,562 | ||||||||
|
| |||||||
| Transportation Infrastructure – 0.6% | ||||||||
| 973,046 | Atlantia SpA ADR | 11,851,700 | ||||||
|
| |||||||
| Wireless Telecommunication Services – 0.3% | ||||||||
| 266,622 | Vodafone Group PLC ADR | 7,422,757 | ||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $721,539,189) | $ | 756,065,218 | ||||||
|
| |||||||
Shares | Rate | Value | ||||||
| Preferred Stocks – 2.9% | ||||||||
| Banks(d) – 0.1% | ||||||||
People’s United Financial, Inc. |
| |||||||
| 127,824 | 5.625 | % | $ | 3,336,206 | ||||
| ||||||||
| Consumer Finance(d) – 0.2% | ||||||||
Morgan Stanley |
| |||||||
| 183,597 | 6.375 | 5,067,277 | ||||||
| ||||||||
| Diversified Telecommunication Services – 0.3% | ||||||||
Verizon Communications, Inc. |
| |||||||
| 255,549 | 5.900 | 6,846,158 | ||||||
| ||||||||
| Electric Utilities – 0.7% | ||||||||
Exelon Corp. |
| |||||||
| 104,612 | 6.500 | 4,989,993 | ||||||
SCE Trust III(d) |
| |||||||
| 320,000 | 5.750 | 9,184,000 | ||||||
|
| |||||||
| 14,173,993 | ||||||||
| ||||||||
| Equity Real Estate Investment Trusts (REITs) – 1.1% | ||||||||
American Tower Corp. |
| |||||||
| 50,994 | 5.500 | 5,596,592 | ||||||
Public Storage |
| |||||||
| 223,563 | 5.750 | 5,680,736 | ||||||
Taubman Centers, Inc. |
| |||||||
| 234,916 | 6.500 | 6,084,324 | ||||||
| ||||||||
| Preferred Stocks – (continued) | ||||||||
| Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
Vornado Realty Trust |
| |||||||
| 226,759 | 6.625 | % | $ | 5,800,495 | ||||
|
| |||||||
| 23,162,147 | ||||||||
| ||||||||
| Pharmaceuticals – 0.5% | ||||||||
Allergan PLC |
| |||||||
| 12,883 | 5.500 | 9,907,027 | ||||||
| ||||||||
| TOTAL PREFERRED STOCKS – 2.9% | ||||||||
| (Cost $59,977,850) | $ | 62,492,808 | ||||||
| ||||||||
| Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
| Corporate Obligations – 46.8% | ||||||||||||||
| Airlines(f) – 0.1% | ||||||||||||||
| Air Canada Pass Through Trust Series 2013-1, Class B |
| ||||||||||||
| $ | 2,423,810 | 5.375 | % | 11/15/22 | $ | 2,538,941 | ||||||||
|
| |||||||||||||
| Automotive(e)(f)(g) – 0.6% | ||||||||||||||
| IHO Verwaltungs GmbH |
| ||||||||||||
| 13,300,000 | 4.500 | 09/15/23 | 13,466,250 | |||||||||||
|
| |||||||||||||
| Banks – 4.4% | ||||||||||||||
| Ally Financial, Inc. |
| ||||||||||||
| 3,000,000 | 8.000 | 11/01/31 | 3,588,750 | |||||||||||
| Bank of America Corp.(d)(e) |
| ||||||||||||
| 6,275,000 | 6.100 | 03/17/49 | 6,580,906 | |||||||||||
| 3,000,000 | 6.250 | 09/25/49 | 3,142,500 | |||||||||||
| Barclays PLC(d)(e) |
| ||||||||||||
| 3,000,000 | 6.625 | 09/15/49 | 2,760,000 | |||||||||||
| BPCE SA(f) |
| ||||||||||||
| 5,000,000 | 4.625 | 07/11/24 | 5,077,795 | |||||||||||
| Citigroup, Inc.(d)(e) |
| ||||||||||||
| 7,000,000 | 6.250 | 08/15/49 | 7,533,750 | |||||||||||
| CoBank ACB(d)(e) |
| ||||||||||||
| 5,350,000 | 6.250 | 10/01/49 | 5,786,485 | |||||||||||
| Credit Agricole SA(d)(e)(f) |
| ||||||||||||
| 2,500,000 | 6.625 | 09/23/49 | 2,421,875 | |||||||||||
| Credit Suisse Group AG(d)(e) |
| ||||||||||||
| 4,025,000 | 7.500 | (f) | 12/11/49 | 4,170,906 | ||||||||||
| 2,500,000 | 6.250 | 12/18/49 | 2,415,625 | |||||||||||
| ING Groep NV(d)(e) |
| ||||||||||||
| 4,275,000 | 6.000 | 04/16/49 | 4,237,594 | |||||||||||
| 6,650,000 | 6.500 | 12/29/49 | 6,583,500 | |||||||||||
| Intesa Sanpaolo SpA(f) |
| ||||||||||||
| 9,100,000 | 5.017 | 06/26/24 | 8,440,250 | |||||||||||
| JPMorgan Chase & Co.(d)(e) |
| ||||||||||||
| 10,000,000 | 6.125 | 04/30/49 | 10,588,000 | |||||||||||
| KBC Group NV(d)(e) |
| ||||||||||||
| EUR | 1,950,000 | 5.625 | 03/19/49 | 2,140,292 | ||||||||||
| Lloyds Banking Group PLC(d)(e) |
| ||||||||||||
| GBP | 3,491,000 | 7.000 | 06/27/49 | 4,261,749 | ||||||||||
| Santander UK Group Holdings PLC(f) |
| ||||||||||||
| $ | 4,250,000 | 4.750 | 09/15/25 | 4,254,526 | ||||||||||
|
| |||||||||||||
| The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS INCOME BUILDER FUND
Schedule of Investments (continued)
October 31, 2016
| Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
| Corporate Obligations – (continued) | ||||||||||||||
| Banks – (continued) | ||||||||||||||
| UBS Group AG(d)(e) |
| ||||||||||||
| $ | 10,600,000 | 6.875 | % | 08/07/49 | $ | 10,576,574 | ||||||||
|
| |||||||||||||
| 94,561,077 | ||||||||||||||
|
| |||||||||||||
| Brokerage(e) – 0.3% | ||||||||||||||
| Morgan Stanley(d) |
| ||||||||||||
| 4,000,000 | 5.550 | 07/15/49 | 4,100,000 | |||||||||||
| Rialto Holdings LLC/Rialto Corp.(f) |
| ||||||||||||
| 3,000,000 | 7.000 | 12/01/18 | 3,037,500 | |||||||||||
|
| |||||||||||||
| 7,137,500 | ||||||||||||||
|
| |||||||||||||
| Building Materials(e)(f) – 0.5% | ||||||||||||||
| BMC East LLC |
| ||||||||||||
| 3,000,000 | 5.500 | 10/01/24 | 3,060,000 | |||||||||||
| Builders FirstSource, Inc. |
| ||||||||||||
| 4,000,000 | 5.625 | 09/01/24 | 4,040,000 | |||||||||||
| Masonite International Corp. |
| ||||||||||||
| 4,000,000 | 5.625 | 03/15/23 | 4,160,000 | |||||||||||
|
| |||||||||||||
| 11,260,000 | ||||||||||||||
|
| |||||||||||||
| Chemicals(e) – 0.7% | ||||||||||||||
| Ashland LLC |
| ||||||||||||
| 5,250,000 | 6.875 | 05/15/43 | 5,748,750 | |||||||||||
| Axalta Coating Systems LLC(f) |
| ||||||||||||
| 1,700,000 | 4.875 | 08/15/24 | 1,731,875 | |||||||||||
| PQ Corp.(f) | ||||||||||||||
| 3,400,000 | 6.750 | 11/15/22 | 3,659,250 | |||||||||||
| | Valvoline, Inc.(f) | | ||||||||||||
| 1,950,000 | 5.500 | 07/15/24 | 2,057,250 | |||||||||||
| Versum Materials, Inc.(f) |
| ||||||||||||
| 1,355,000 | 5.500 | 09/30/24 | 1,385,487 | |||||||||||
|
| |||||||||||||
| 14,582,612 | ||||||||||||||
|
| |||||||||||||
| Construction Machinery(e) – 0.1% | ||||||||||||||
| Manitowoc Foodservice, Inc. |
| ||||||||||||
| 2,650,000 | 9.500 | 02/15/24 | 3,050,813 | |||||||||||
|
| |||||||||||||
| Consumer Cyclical Services – Business(e) – 1.8% | ||||||||||||||
| Equinix, Inc. |
| ||||||||||||
| 6,000,000 | 5.375 | 04/01/23 | 6,262,500 | |||||||||||
| 8,000,000 | 5.750 | 01/01/25 | 8,480,000 | |||||||||||
| First Data Corp.(f) |
| ||||||||||||
| 9,000,000 | 5.750 | 01/15/24 | 9,123,750 | |||||||||||
| Iron Mountain Europe PLC |
| ||||||||||||
| GBP | 2,950,000 | 6.125 | 09/15/22 | 3,800,405 | ||||||||||
| WEX, Inc.(f) | ||||||||||||||
| $ | 10,001,000 | 4.750 | 02/01/23 | 9,950,995 | ||||||||||
|
| |||||||||||||
| 37,617,650 | ||||||||||||||
|
| |||||||||||||
| Consumer Cyclical Services – Rental Equipment(e) – 0.4% | ||||||||||||||
| Ahern Rentals, Inc.(f) |
| ||||||||||||
| 9,500,000 | 7.375 | 05/15/23 | 6,234,375 | |||||||||||
| United Rentals North America, Inc. |
| ||||||||||||
| 3,000,000 | 5.750 | 11/15/24 | 3,127,500 | |||||||||||
|
| |||||||||||||
| 9,361,875 | ||||||||||||||
|
| |||||||||||||
| Corporate Obligations – (continued) | ||||||||||||||
| Consumer Products(e) – 0.4% | ||||||||||||||
| Spectrum Brands, Inc. |
| ||||||||||||
| 8,835,000 | 6.625 | 11/15/22 | 9,475,538 | |||||||||||
|
| |||||||||||||
| Electric(e) – 1.2% | ||||||||||||||
| Calpine Corp.(f) |
| ||||||||||||
| 8,539,000 | 7.875 | 01/15/23 | 8,955,276 | |||||||||||
| Dynegy, Inc. | ||||||||||||||
| 7,520,000 | 6.750 | 11/01/19 | 7,632,800 | |||||||||||
| EDP – Energias de Portugal SA(d) |
| ||||||||||||
| EUR | 3,100,000 | 5.375 | 09/16/75 | 3,566,031 | ||||||||||
| Electricite de France SA(d) |
| ||||||||||||
| 3,000,000 | 5.000 | 01/22/49 | 3,280,901 | |||||||||||
| $ | 2,500,000 | 5.250 | (f) | 01/29/49 | 2,475,000 | |||||||||
| Puget Sound Energy, Inc.(d) |
| ||||||||||||
| 550,000 | 6.974 | 06/01/67 | 468,188 | |||||||||||
|
| |||||||||||||
| 26,378,196 | ||||||||||||||
|
| |||||||||||||
| Energy – 1.7% | ||||||||||||||
| AmeriGas Partners LP/AmeriGas Finance Corp.(e) |
| ||||||||||||
| 3,200,000 | 5.875 | 08/20/26 | 3,360,000 | |||||||||||
| Antero Resources Corp.(e) |
| ||||||||||||
| 7,975,000 | 5.125 | 12/01/22 | 8,034,812 | |||||||||||
| 3,525,000 | 5.625 | 06/01/23 | 3,595,500 | |||||||||||
| Apache Corp.(e) |
| ||||||||||||
| 2,525,000 | 4.750 | 04/15/43 | 2,637,027 | |||||||||||
| 2,575,000 | 4.250 | 01/15/44 | 2,540,124 | |||||||||||
| Halcon Resources Corp.(e)(f) |
| ||||||||||||
| 3,550,000 | 8.625 | 02/01/20 | 3,585,500 | |||||||||||
| Laredo Petroleum, Inc.(e) |
| ||||||||||||
| 3,375,000 | 5.625 | 01/15/22 | 3,290,625 | |||||||||||
| Nexen Energy ULC |
| ||||||||||||
| 5,000 | 6.400 | 05/15/37 | 6,325 | |||||||||||
| 50,000 | 7.500 | 07/30/39 | 71,438 | |||||||||||
| NRG Energy, Inc.(e) |
| ||||||||||||
| 1,926,000 | 7.875 | 05/15/21 | 2,012,670 | |||||||||||
| Weatherford International Ltd. |
| ||||||||||||
| 4,250,000 | 4.500 | (e) | 04/15/22 | 3,782,500 | ||||||||||
| 3,000,000 | 6.500 | 08/01/36 | 2,370,000 | |||||||||||
| Whiting Petroleum Corp. |
| ||||||||||||
| 1,000,000 | 1.250 | 04/01/20 | 838,750 | |||||||||||
|
| |||||||||||||
| 36,125,271 | ||||||||||||||
|
| |||||||||||||
| Entertainment(e)(f) – 0.2% | ||||||||||||||
| WMG Acquisition Corp. |
| ||||||||||||
| 4,725,000 | 5.625 | 04/15/22 | 4,914,000 | |||||||||||
|
| |||||||||||||
| Environmental(e) – 0.2% | ||||||||||||||
| Advanced Disposal Services, Inc. |
| ||||||||||||
| 4,000,000 | 8.250 | 10/01/20 | 4,175,000 | |||||||||||
|
| |||||||||||||
| Financial Co. – Non Captive – 2.0% | ||||||||||||||
| CIT Group, Inc. |
| ||||||||||||
| 1,800,000 | 5.250 | 03/15/18 | 1,856,250 | |||||||||||
| 7,250,000 | 5.500 | (f) | 02/15/19 | 7,630,625 | ||||||||||
| HRG Group, Inc.(e) |
| ||||||||||||
| 8,075,000 | 7.875 | 07/15/19 | 8,458,563 | |||||||||||
|
| |||||||||||||
| 24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INCOME BUILDER FUND
| Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
| Corporate Obligations – (continued) | ||||||||||||||
| Financial Co. – Non Captive – (continued) | ||||||||||||||
| Nationstar Mortgage LLC/Nationstar Capital Corp.(e) |
| ||||||||||||
| $ | 3,000,000 | 6.500 | % | 08/01/18 | $ | 3,030,000 | ||||||||
| 6,000,000 | 6.500 | 07/01/21 | 5,910,000 | |||||||||||
| Navient Corp. |
| ||||||||||||
| 3,000,000 | 5.500 | 01/15/19 | 3,101,169 | |||||||||||
| 4,000,000 | 5.875 | 03/25/21 | 4,047,056 | |||||||||||
| 1,250,000 | 6.625 | 07/26/21 | 1,262,701 | |||||||||||
| Speedy Cash Intermediate Holdings Corp.(e)(f) |
| ||||||||||||
| 9,974,000 | 10.750 | 05/15/18 | 7,904,395 | |||||||||||
|
| |||||||||||||
| 43,200,759 | ||||||||||||||
|
| |||||||||||||
| Food & Beverage – 1.2% | ||||||||||||||
| Anheuser-Busch InBev Finance, Inc.(e) |
| ||||||||||||
| 5,000,000 | 4.900 | 02/01/46 | 5,717,685 | |||||||||||
| Cott Beverages, Inc.(e) |
| ||||||||||||
| 10,000,000 | 5.375 | 07/01/22 | 10,250,000 | |||||||||||
| Pernod-Ricard SA(f) |
| ||||||||||||
| 3,025,000 | 5.500 | 01/15/42 | 3,575,296 | |||||||||||
| Sysco Corp.(e) |
| ||||||||||||
| 5,000,000 | 4.850 | 10/01/45 | 5,507,535 | |||||||||||
|
| |||||||||||||
| 25,050,516 | ||||||||||||||
|
| |||||||||||||
| Gaming – 0.8% | ||||||||||||||
| CyrusOne LP/CyrusOne Finance Corp.(e) |
| ||||||||||||
| 5,299,000 | 6.375 | 11/15/22 | 5,603,692 | |||||||||||
| MGM Resorts International |
| ||||||||||||
| 9,750,000 | 6.750 | 10/01/20 | 10,822,500 | |||||||||||
|
| |||||||||||||
| 16,426,192 | ||||||||||||||
|
| |||||||||||||
| Health Care – 3.2% | ||||||||||||||
| CHS/Community Health Systems, Inc.(e) |
| ||||||||||||
| 9,000,000 | 6.875 | 02/01/22 | 6,750,000 | |||||||||||
| DaVita, Inc.(e) |
| ||||||||||||
| 9,000,000 | 5.000 | 05/01/25 | 8,730,000 | |||||||||||
| HCA, Inc. | ||||||||||||||
| 10,000,000 | 4.750 | 05/01/23 | 10,412,500 | |||||||||||
| 15,000,000 | 5.000 | 03/15/24 | 15,622,500 | |||||||||||
| 7,000,000 | 5.875 | (e) | 02/15/26 | 7,367,500 | ||||||||||
| MPT Operating Partnership LP/MPT Finance Corp.(e) |
| ||||||||||||
| 5,100,000 | 6.375 | 03/01/24 | 5,495,250 | |||||||||||
| Tenet Healthcare Corp. |
| ||||||||||||
| 11,600,000 | 4.350 | (d)(e) | 06/15/20 | 11,687,000 | ||||||||||
| 3,150,000 | 6.000 | 10/01/20 | 3,331,125 | |||||||||||
|
| |||||||||||||
| 69,395,875 | ||||||||||||||
|
| |||||||||||||
| Health Care – Pharmaceuticals(e) – 1.0% | ||||||||||||||
| Actavis Funding SCS |
| ||||||||||||
| 6,075,000 | 4.750 | 03/15/45 | 6,372,262 | |||||||||||
| Endo Ltd./Endo Finance LLC/Endo Finco, Inc.(f) |
| ||||||||||||
| 3,150,000 | 6.000 | 07/15/23 | 2,748,375 | |||||||||||
| 5,000,000 | 6.000 | 02/01/25 | 4,225,000 | |||||||||||
| Valeant Pharmaceuticals International, Inc.(f) |
| ||||||||||||
| 8,000,000 | 6.375 | 10/15/20 | 6,980,000 | |||||||||||
|
| |||||||||||||
| 20,325,637 | ||||||||||||||
|
| |||||||||||||
| Corporate Obligations – (continued) | ||||||||||||||
| Health Care – Services(e) – 0.4% | ||||||||||||||
| Centene Corp. |
| ||||||||||||
| 3,000,000 | 6.125 | 02/15/24 | 3,187,500 | |||||||||||
| MEDNAX, Inc.(f) |
| ||||||||||||
| 4,100,000 | 5.250 | 12/01/23 | 4,284,500 | |||||||||||
|
| |||||||||||||
| 7,472,000 | ||||||||||||||
|
| |||||||||||||
| Home Construction – 0.5% | ||||||||||||||
| CBRE Services, Inc.(e) |
| ||||||||||||
| 5,000,000 | 5.250 | 03/15/25 | 5,345,465 | |||||||||||
| TRI Pointe Group, Inc./TRI Pointe Homes, Inc. |
| ||||||||||||
| 3,000,000 | 4.375 | 06/15/19 | 3,067,500 | |||||||||||
| William Lyon Homes, Inc.(e) |
| ||||||||||||
| 2,030,000 | 5.750 | 04/15/19 | 2,070,600 | |||||||||||
|
| |||||||||||||
| 10,483,565 | ||||||||||||||
|
| |||||||||||||
| Insurance(d)(e) – 0.4% | ||||||||||||||
| Standard Life PLC |
| ||||||||||||
| GBP | 6,000,000 | 6.546 | 01/06/49 | 7,793,898 | ||||||||||
|
| |||||||||||||
| Lodging(e)(f) – 0.1% | ||||||||||||||
| MCE Finance Ltd. |
| ||||||||||||
| $ | 3,000,000 | 5.000 | 02/15/21 | 3,003,000 | ||||||||||
|
| |||||||||||||
| Media – Cable – 4.6% | ||||||||||||||
| Altice Luxembourg SA(e) |
| ||||||||||||
| EUR | 2,000,000 | 6.250 | 02/15/25 | 2,267,074 | ||||||||||
| Altice US Finance I Corp.(e)(f) |
| ||||||||||||
| $ | 5,450,000 | 5.500 | 05/15/26 | 5,559,000 | ||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp.(e) |
| ||||||||||||
| 4,000,000 | 5.750 | 09/01/23 | 4,220,000 | |||||||||||
| 3,100,000 | 5.875 | (f) | 04/01/24 | 3,270,500 | ||||||||||
| 7,000,000 | 5.375 | 05/01/25 | 7,192,500 | �� | ||||||||||
| 2,195,000 | 5.750 | (f) | 02/15/26 | 2,293,775 | ||||||||||
| 4,000,000 | 5.875 | (f) | 05/01/27 | 4,190,000 | ||||||||||
| Charter Communications Operating LLC/Charter | | ||||||||||||
| 3,000,000 | 6.384 | 10/23/35 | 3,458,196 | |||||||||||
| 13,000,000 | 6.484 | 10/23/45 | 15,234,050 | |||||||||||
| Comcast Corp.(e) |
| ||||||||||||
| 3,000,000 | 4.600 | 08/15/45 | 3,330,708 | |||||||||||
| DISH DBS Corp. |
| ||||||||||||
| 4,050,000 | 5.875 | 11/15/24 | 4,090,500 | |||||||||||
| 6,000,000 | 7.750 | 07/01/26 | 6,592,500 | |||||||||||
| SFR Group SA(e)(f) |
| ||||||||||||
| 18,300,000 | 6.000 | 05/15/22 | 18,711,750 | |||||||||||
| UPCB Finance IV Ltd.(e)(f) |
| ||||||||||||
| 9,275,000 | 5.375 | 01/15/25 | 9,390,938 | |||||||||||
| Virgin Media Secured Finance PLC(e) |
| ||||||||||||
| GBP | 4,000,000 | 4.875 | 01/15/27 | 4,782,464 | ||||||||||
| Ziggo Bond Finance BV(e)(f) |
| ||||||||||||
| $ | 3,000,000 | 5.875 | 01/15/25 | 2,977,500 | ||||||||||
|
| |||||||||||||
| 97,561,455 | ||||||||||||||
|
| |||||||||||||
| Media – Non Cable – 3.6% | ||||||||||||||
| 21st Century Fox America, Inc. |
| ||||||||||||
| 5,025,000 | 6.150 | 02/15/41 | 6,237,834 | |||||||||||
| Clear Channel Worldwide Holdings, Inc.(e) |
| ||||||||||||
| 4,000,000 | 6.500 | 11/15/22 | 3,990,000 | |||||||||||
|
| |||||||||||||
| The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS INCOME BUILDER FUND
Schedule of Investments (continued)
October 31, 2016
| Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
| Corporate Obligations – (continued) | ||||||||||||||
| Media – Non Cable – (continued) | ||||||||||||||
| Gray Television, Inc.(e)(f) |
| ||||||||||||
| $ | 3,000,000 | 5.125 | % | 10/15/24 | $ | 2,917,500 | ||||||||
| Nielsen Finance LLC/Nielsen Finance Co.(e)(f) |
| ||||||||||||
| 12,000,000 | 5.000 | 04/15/22 | 12,180,000 | |||||||||||
| Sirius XM Radio, Inc.(e)(f) |
| ||||||||||||
| 6,500,000 | 4.625 | 05/15/23 | 6,532,500 | |||||||||||
| 15,000,000 | 6.000 | 07/15/24 | 15,937,500 | |||||||||||
| Univision Communications, Inc.(e) |
| ||||||||||||
| 8,950,000 | 5.125 | (f) | 02/15/25 | 8,972,375 | ||||||||||
| 6,000,000 | 5.125 | 02/15/25 | 6,015,000 | |||||||||||
| Videotron Ltd.(e)(f) |
| ||||||||||||
| 13,000,000 | 5.375 | 06/15/24 | 13,585,000 | |||||||||||
|
| |||||||||||||
| 76,367,709 | ||||||||||||||
|
| |||||||||||||
| Metals & Mining – 0.3% | ||||||||||||||
| ArcelorMittal |
| ||||||||||||
| 2,000,000 | 8.000 | 10/15/39 | 2,177,500 | |||||||||||
| Glencore Funding LLC(f) |
| ||||||||||||
| 4,000,000 | 4.000 | 04/16/25 | 3,940,000 | |||||||||||
|
| |||||||||||||
| 6,117,500 | ||||||||||||||
|
| |||||||||||||
| Packaging(e)(f) – 0.6% | ||||||||||||||
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. |
| ||||||||||||
| 132,353 | 7.000 | 11/15/20 | 137,151 | |||||||||||
| 6,550,000 | 4.067 | (d) | 05/15/21 | 6,689,187 | ||||||||||
| 3,834,000 | 7.250 | 05/15/24 | 4,044,870 | |||||||||||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/ | | ||||||||||||
| 2,250,000 | 5.125 | 07/15/23 | 2,311,875 | |||||||||||
|
| |||||||||||||
| 13,183,083 | ||||||||||||||
|
| |||||||||||||
| Pipelines – 2.6% | ||||||||||||||
| Enterprise Products Operating LLC(d)(e) |
| ||||||||||||
| 3,000,000 | 4.464 | 08/01/66 | 2,853,750 | |||||||||||
| 1,000,000 | 7.000 | 06/01/67 | 847,500 | |||||||||||
| Kinder Morgan Energy Partners LP |
| ||||||||||||
| 6,825,000 | 7.300 | 08/15/33 | 8,045,242 | |||||||||||
| Plains All American Pipeline LP/PAA Finance Corp.(e) |
| ||||||||||||
| 5,250,000 | 3.600 | 11/01/24 | 5,174,027 | |||||||||||
| Sabine Pass Liquefaction LLC(e) |
| ||||||||||||
| 4,000,000 | 6.250 | 03/15/22 | 4,380,000 | |||||||||||
| 10,000,000 | 5.750 | 05/15/24 | 10,575,000 | |||||||||||
| Targa Resources Partners LP/Targa Resources Partners Finance | | ||||||||||||
| 7,450,000 | 5.125 | 02/01/25 | 7,431,375 | |||||||||||
| The Williams Cos., Inc. |
| ||||||||||||
| 9,000,000 | 7.500 | 01/15/31 | 10,327,500 | |||||||||||
| Williams Partners LP |
| ||||||||||||
| 5,002,000 | 5.250 | 03/15/20 | 5,410,118 | |||||||||||
|
| |||||||||||||
| 55,044,512 | ||||||||||||||
|
| |||||||||||||
| Property/Casualty Insurance – 0.0% | ||||||||||||||
| Transatlantic Holdings, Inc. |
| ||||||||||||
| 75,000 | 8.000 | 11/30/39 | 100,279 | |||||||||||
|
| |||||||||||||
| Real Estate(e) – 0.5% | ||||||||||||||
| DuPont Fabros Technology LP |
| ||||||||||||
| 6,000,000 | 5.875 | 09/15/21 | 6,285,000 | |||||||||||
|
| |||||||||||||
| Corporate Obligations – (continued) | ||||||||||||||
| Real Estate(e) – (continued) | ||||||||||||||
| VEREIT Operating Partnership LP |
| ||||||||||||
| 4,000,000 | 4.125 | 06/01/21 | 4,194,288 | |||||||||||
|
| |||||||||||||
| 10,479,288 | ||||||||||||||
|
| |||||||||||||
| Retailers – 0.6% | ||||||||||||||
| Amazon.com, Inc.(e) |
| ||||||||||||
| 5,000,000 | 4.950 | 12/05/44 | 5,834,140 | |||||||||||
| L Brands, Inc. |
| ||||||||||||
| 3,000,000 | 5.625 | 02/15/22 | 3,300,000 | |||||||||||
| Restoration Hardware Holdings, Inc.(f)(h) |
| ||||||||||||
| 3,000,000 | 0.000 | 06/15/19 | 2,527,500 | |||||||||||
| The Neiman Marcus Group, Inc. |
| ||||||||||||
| 1,500,000 | 7.125 | 06/01/28 | 1,380,000 | |||||||||||
|
| |||||||||||||
| 13,041,640 | ||||||||||||||
|
| |||||||||||||
| Retailers – Food & Drug(e) – 0.5% | ||||||||||||||
| CVS Health Corp. |
| ||||||||||||
| 3,000,000 | 5.125 | 07/20/45 | 3,499,773 | |||||||||||
| Rite Aid Corp. |
| ||||||||||||
| 6,000,000 | 6.750 | 06/15/21 | 6,307,500 | |||||||||||
|
| |||||||||||||
| 9,807,273 | ||||||||||||||
|
| |||||||||||||
| Technology(e) – 0.6% | ||||||||||||||
| Hewlett Packard Enterprise Co.(f) |
| ||||||||||||
| 3,000,000 | 6.200 | 10/15/35 | 3,102,012 | |||||||||||
| Seagate HDD Cayman |
| ||||||||||||
| 5,000,000 | 5.750 | 12/01/34 | 4,354,375 | |||||||||||
| VeriSign, Inc. |
| ||||||||||||
| 4,000,000 | 5.250 | 04/01/25 | 4,240,000 | |||||||||||
|
| |||||||||||||
| 11,696,387 | ||||||||||||||
|
| |||||||||||||
| Technology – Hardware(e) – 1.1% | ||||||||||||||
| Diamond 1 Finance Corp./Diamond 2 Finance Corp.(f) |
| ||||||||||||
| 3,250,000 | 5.875 | 06/15/21 | 3,428,750 | |||||||||||
| Micron Technology, Inc.(f) |
| ||||||||||||
| 5,400,000 | 7.500 | 09/15/23 | 5,960,250 | |||||||||||
| NCR Corp. |
| ||||||||||||
| 5,000,000 | 5.875 | 12/15/21 | 5,256,250 | |||||||||||
| Qorvo, Inc. | ||||||||||||||
| 4,000,000 | 6.750 | 12/01/23 | 4,370,000 | |||||||||||
| Western Digital Corp.(f) |
| ||||||||||||
| 4,800,000 | 7.375 | 04/01/23 | 5,250,000 | |||||||||||
|
| |||||||||||||
| 24,265,250 | ||||||||||||||
|
| |||||||||||||
| Technology – Software(e) – 1.1% | ||||||||||||||
| BMC Software Finance, Inc.(f) |
| ||||||||||||
| 12,000,000 | 8.125 | 07/15/21 | 10,980,000 | |||||||||||
| Infor US, Inc. |
| ||||||||||||
| 6,000,000 | 6.500 | 05/15/22 | 6,210,000 | |||||||||||
| Nuance Communications, Inc.(f) |
| ||||||||||||
| 7,000,000 | 5.375 | 08/15/20 | 7,192,500 | |||||||||||
|
| |||||||||||||
| 24,382,500 | ||||||||||||||
|
| |||||||||||||
| Tobacco(e) – 0.7% | ||||||||||||||
| Reynolds American, Inc. |
| ||||||||||||
| 12,000,000 | 5.850 | 08/15/45 | 14,919,672 | |||||||||||
|
| |||||||||||||
| 26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INCOME BUILDER FUND
| Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
| Corporate Obligations – (continued) | ||||||||||||||
| Wireless Telecommunications – 5.9% | ||||||||||||||
| Altice Financing SA(e)(f) |
| ||||||||||||
| $ | 4,425,000 | 6.625 | % | 02/15/23 | $ | 4,557,750 | ||||||||
| Altice Finco SA(e)(f) |
| ||||||||||||
| 2,000,000 | 8.125 | 01/15/24 | 2,050,000 | |||||||||||
| Digicel Group Ltd.(e)(f) |
| ||||||||||||
| 3,800,000 | 8.250 | 09/30/20 | 3,355,400 | |||||||||||
| Digicel Ltd.(e)(f) |
| ||||||||||||
| 950,000 | 7.000 | 02/15/20 | 904,875 | |||||||||||
| Intelsat Jackson Holdings SA(e) |
| ||||||||||||
| 3,000,000 | 7.250 | 04/01/19 | 2,418,750 | |||||||||||
| 4,000,000 | 7.250 | 10/15/20 | 3,030,000 | |||||||||||
| 10,000,000 | 8.000 | (f) | 02/15/24 | 10,125,000 | ||||||||||
| SBA Communications Corp.(e) |
| ||||||||||||
| 17,191,000 | 4.875 | 07/15/22 | 17,534,820 | |||||||||||
| 4,800,000 | 4.875 | (f) | 09/01/24 | 4,806,000 | ||||||||||
| SoftBank Group Corp. |
| ||||||||||||
| 7,000,000 | 4.500 | (f) | 04/15/20 | 7,218,750 | ||||||||||
| 7,500,000 | 6.000 | (e) | 07/30/25 | 8,071,875 | ||||||||||
| Sprint Communications, Inc. |
| ||||||||||||
| 8,975,000 | 6.000 | 12/01/16 | 8,997,437 | |||||||||||
| 2,000,000 | 6.000 | 11/15/22 | 1,865,000 | |||||||||||
| Sprint Corp. |
| ||||||||||||
| 16,000,000 | 7.875 | 09/15/23 | 15,840,000 | |||||||||||
| 7,500,000 | 7.125 | 06/15/24 | 7,068,750 | |||||||||||
| T-Mobile USA, Inc.(e) |
| ||||||||||||
| 8,200,000 | 6.625 | 04/01/23 | 8,692,000 | |||||||||||
| 2,000,000 | 6.375 | 03/01/25 | 2,145,000 | |||||||||||
| 10,550,000 | 6.500 | 01/15/26 | 11,578,625 | |||||||||||
| VimpelCom Holdings BV |
| ||||||||||||
| 1,000,000 | 7.504 | 03/01/22 | 1,102,500 | |||||||||||
| Wind Acquisition Finance SA(e)(f) |
| ||||||||||||
| 2,425,000 | 4.750 | 07/15/20 | 2,446,219 | |||||||||||
| 3,000,000 | 7.375 | 04/23/21 | 3,067,500 | |||||||||||
|
| |||||||||||||
| 126,876,251 | ||||||||||||||
|
| |||||||||||||
| Wirelines Telecommunications – 1.9% | ||||||||||||||
| AT&T, Inc.(e) |
| ||||||||||||
| 6,300,000 | 4.750 | 05/15/46 | 6,165,029 | |||||||||||
| Communications Sales & Leasing, Inc./CSL Capital LLC(e)(f) |
| ||||||||||||
| 3,600,000 | 6.000 | 04/15/23 | 3,735,000 | |||||||||||
| Frontier Communications Corp. |
| ||||||||||||
| 6,001,000 | 8.500 | 04/15/20 | 6,391,065 | |||||||||||
| Telecom Italia Capital SA |
| ||||||||||||
| 3,000,000 | 7.721 | 06/04/38 | 3,285,000 | |||||||||||
| Telecom Italia SpA(f) |
| ||||||||||||
| 10,000,000 | 5.303 | 05/30/24 | 10,137,500 | |||||||||||
| Verizon Communications, Inc. |
| ||||||||||||
| 2,500,000 | 4.862 | 08/21/46 | 2,647,942 | |||||||||||
| 2,500,000 | 4.672 | 03/15/55 | 2,437,150 | |||||||||||
| Windstream Services LLC(e) |
| ||||||||||||
| 5,000,000 | 7.750 | 10/01/21 | 4,950,000 | |||||||||||
|
| |||||||||||||
| 39,748,686 | ||||||||||||||
|
| |||||||||||||
| TOTAL CORPORATE OBLIGATIONS | ||||||||||||||
| (Cost $979,490,589) | $ | 1,001,387,650 | ||||||||||||
|
| |||||||||||||
| Mortgage-Backed Obligations – 0.0% | ||||||||||||||
| Collateralized Mortgage Obligations – 0.0% | ||||||||||||||
| Adjustable Rate Non-Agency(d) – 0.0% | ||||||||||||||
| Countrywide Alternative Loan Trust Series 2005-31, Class 2A1 |
| ||||||||||||
| $ | 129,615 | 0.825 | % | 08/25/35 | $ | 108,795 | ||||||||
| Countrywide Alternative Loan Trust Series 2005-38, Class A3 |
| ||||||||||||
| 125,567 | 1.225 | 09/25/35 | 111,408 | |||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust | | ||||||||||||
| 8,841 | 3.072 | 11/20/34 | 8,620 | |||||||||||
| JPMorgan Alternative Loan Trust Series 2005-A2, Class 1A1 |
| ||||||||||||
| 115,361 | 0.785 | 01/25/36 | 110,857 | |||||||||||
| Merrill Lynch Alternative Note Asset Trust Series 2007-OAR3, | | ||||||||||||
| 349,539 | 0.724 | 07/25/47 | 286,444 | |||||||||||
| Structured Adjustable Rate Mortgage Loan Trust Series 2004-06, | | ||||||||||||
| 116,987 | 2.914 | 06/25/34 | 117,861 | |||||||||||
| Wells Fargo Mortgage Backed Securities Trust Series 2005- | | ||||||||||||
| 53,174 | 3.059 | 08/25/33 | 54,206 | |||||||||||
|
| |||||||||||||
| 798,191 | ||||||||||||||
|
| |||||||||||||
| Interest Only(i) – 0.0% | ||||||||||||||
| CS First Boston Mortgage Securities Corp. Series 2003-19, | | ||||||||||||
| 1,404 | 5.250 | 07/25/33 | 29 | |||||||||||
| CS First Boston Mortgage Securities Corp. Series 2003-AR18, | | ||||||||||||
| 17,576 | 0.000 | 07/25/33 | — | |||||||||||
| CS First Boston Mortgage Securities Corp. Series 2003-AR20, | | ||||||||||||
| 19,886 | 0.000 | 08/25/33 | — | |||||||||||
| Master Adjustable Rate Mortgages Trust Series 2003-2, | | ||||||||||||
| 31,849 | 0.123 | 08/25/33 | 192 | |||||||||||
| Master Adjustable Rate Mortgages Trust Series 2003-2, | | ||||||||||||
| 6,190 | 0.320 | 07/25/33 | 70 | |||||||||||
|
| |||||||||||||
| 291 | ||||||||||||||
|
| |||||||||||||
| TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||
| (Cost $652,798) | $ | 798,482 | ||||||||||||
|
| |||||||||||||
| Asset-Backed Securities – 0.0% | ||||||||||||||
| Home Equity(d) – 0.0% | ||||||||||||||
| Countrywide Home Equity Loan Trust Series 2004-N, Class 2A |
| ||||||||||||
| $ | 42,787 | 0.815 | % | 02/15/34 | $ | 37,561 | ||||||||
|
| |||||||||||||
| Manufactured Housing – 0.0% | ||||||||||||||
| Mid-State Trust Series 4, Class A |
| ||||||||||||
| 16,195 | 8.330 | 04/01/30 | 16,444 | |||||||||||
|
| |||||||||||||
| TOTAL ASSET-BACKED SECURITIES | ||||||||||||||
| (Cost $62,393) | $ | 54,005 | ||||||||||||
|
| |||||||||||||
| The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS INCOME BUILDER FUND
Schedule of Investments (continued)
October 31, 2016
| Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
| Bank Loans(j) – 9.6% | ||||||||||||||
| Aerospace – 0.3% | ||||||||||||||
| Transdigm, Inc. |
| ||||||||||||
| $ | 5,572,205 | 3.845 | % | 02/28/20 | $ | 5,563,513 | ||||||||
| 1,959,900 | 3.750 | 06/04/21 | 1,955,490 | |||||||||||
|
| |||||||||||||
| 7,519,003 | ||||||||||||||
|
| |||||||||||||
| Automotive – Parts – 0.1% | ||||||||||||||
| Gates Global LLC |
| ||||||||||||
| 3,099,523 | 4.250 | 07/06/21 | 3,053,340 | |||||||||||
|
| |||||||||||||
| Chemicals – 0.3% | ||||||||||||||
| Univar, Inc. |
| ||||||||||||
| 3,366,000 | 4.250 | 07/01/22 | 3,370,208 | |||||||||||
| US Coatings Acquisition, Inc. |
| ||||||||||||
| 4,067,642 | 3.750 | 02/01/20 | 4,095,831 | |||||||||||
|
| |||||||||||||
| 7,466,039 | ||||||||||||||
|
| |||||||||||||
| Consumer Cyclical Services – Business – 0.5% | ||||||||||||||
| Equinix, Inc. |
| ||||||||||||
| 4,119,000 | 4.000 | 01/08/23 | 4,155,041 | |||||||||||
| First Data Corp. |
| ||||||||||||
| 1,040,311 | 3.524 | 03/24/21 | 1,044,472 | |||||||||||
| 4,700,000 | 4.274 | 07/08/22 | 4,732,336 | |||||||||||
|
| |||||||||||||
| 9,931,849 | ||||||||||||||
|
| |||||||||||||
| Energy – 0.2% | ||||||||||||||
| American Energy – Marcellus LLC |
| ||||||||||||
| 1,075,000 | 8.500 | 08/04/21 | 95,406 | |||||||||||
| Magnum Hunter Resources, Inc.(a)(b)(c) |
| ||||||||||||
| 382,057 | 8.000 | 05/06/19 | 370,595 | |||||||||||
| MEG Energy Corp. |
| ||||||||||||
| 2,899,260 | 3.750 | 03/31/20 | 2,731,190 | |||||||||||
| Targa Resources Corp. |
| ||||||||||||
| 725,581 | 5.750 | 02/25/22 | 726,489 | |||||||||||
|
| |||||||||||||
| 3,923,680 | ||||||||||||||
|
| |||||||||||||
| Environmental – 0.2% | ||||||||||||||
| EnergySolutions LLC |
| ||||||||||||
| 4,522,387 | 6.750 | 05/29/20 | 4,522,387 | |||||||||||
|
| |||||||||||||
| Financial Co. – Non Captive – 0.1% | ||||||||||||||
| Victory Capital Management, Inc. |
| ||||||||||||
| 2,469,231 | 8.500 | 10/31/21 | 2,437,748 | |||||||||||
|
| |||||||||||||
| Food & Beverage – 0.6% | ||||||||||||||
| AdvancePierre Foods, Inc. |
| ||||||||||||
| 3,210,865 | 4.500 | 06/02/23 | 3,233,342 | |||||||||||
| Shearer’s Foods, Inc. |
| ||||||||||||
| 1,420,000 | 7.750 | 06/30/22 | 1,295,750 | |||||||||||
| 1,761,688 | 5.250 | 06/30/21 | 1,766,092 | |||||||||||
| 1,989,848 | 4.938 | 06/30/21 | 1,994,822 | |||||||||||
| US Foods, Inc. |
| ||||||||||||
| 4,200,877 | 4.000 | 06/27/23 | 4,225,620 | |||||||||||
|
| |||||||||||||
| 12,515,626 | ||||||||||||||
|
| |||||||||||||
| Health Care – Pharmaceuticals – 0.8% | ||||||||||||||
| Endo Luxembourg Finance Co. I S.A.R.L. |
| ||||||||||||
| 4,565,500 | 3.750 | 09/26/22 | 4,558,104 | |||||||||||
|
| |||||||||||||
| Bank Loans(j) – (continued) | ||||||||||||||
| Health Care – Pharmaceuticals – (continued) | ||||||||||||||
| Valeant Pharmaceuticals International, Inc. |
| ||||||||||||
| 8,698,383 | 5.500 | 04/01/22 | 8,665,764 | |||||||||||
| 3,237,033 | 5.250 | 12/11/19 | 3,229,523 | |||||||||||
|
| |||||||||||||
| 16,453,391 | ||||||||||||||
|
| |||||||||||||
| Health Care – Services – 0.8% | ||||||||||||||
| Envision Healthcare Corp. |
| ||||||||||||
| 7,643,811 | 4.250 | 05/25/18 | 7,650,613 | |||||||||||
| Sedgwick Claims Management Services, Inc. |
| ||||||||||||
| 5,695,000 | 6.750 | 02/28/22 | 5,645,169 | |||||||||||
| U.S. Renal Care, Inc. |
| ||||||||||||
| 4,143,688 | 5.250 | 12/31/22 | 3,963,686 | |||||||||||
|
| |||||||||||||
| 17,259,468 | ||||||||||||||
|
| |||||||||||||
| Home Construction – 0.2% | ||||||||||||||
| Builders FirstSource, Inc. |
| ||||||||||||
| 3,241,697 | 4.750 | 08/11/22 | 3,253,853 | |||||||||||
|
| |||||||||||||
| Media – Broadcasting & Radio – 0.7% | ||||||||||||||
| Getty Images, Inc. |
| ||||||||||||
| 8,015,302 | 4.750 | 10/18/19 | 6,790,484 | |||||||||||
| Lions Gate Entertainment Corp. |
| ||||||||||||
| 2,850,000 | 4.500 | 10/12/23 | 2,845,240 | |||||||||||
| 3,393,000 | 8.250 | 06/27/17 | 3,393,000 | |||||||||||
| 957,000 | 0.750 | 06/27/17 | 957,000 | |||||||||||
|
| |||||||||||||
| 13,985,724 | ||||||||||||||
|
| |||||||||||||
| Media – Non Cable – 0.3% | ||||||||||||||
| Checkout Holding Corp. |
| ||||||||||||
| 6,882,521 | 4.500 | 04/09/21 | 6,188,556 | |||||||||||
|
| |||||||||||||
| Metals & Mining – 0.1% | ||||||||||||||
| Hi Crush Partners LP |
| ||||||||||||
| 1,329,545 | 4.750 | 04/28/21 | 1,251,435 | |||||||||||
|
| |||||||||||||
| Packaging – 0.2% | ||||||||||||||
| BWAY Holding Co., Inc. |
| ||||||||||||
| 2,877,274 | 5.500 | 08/14/20 | 2,894,653 | |||||||||||
| Onex Wizard U.S. Acquisition, Inc. |
| ||||||||||||
| 1,989,899 | 4.000 | 03/13/22 | 1,990,794 | |||||||||||
|
| |||||||||||||
| 4,885,447 | ||||||||||||||
|
| |||||||||||||
| Real Estate – 0.3% | ||||||||||||||
| Communications Sales & Leasing, Inc. |
| ||||||||||||
| 2,450,188 | 4.500 | 10/24/22 | 2,458,151 | |||||||||||
| Realogy Corp. |
| ||||||||||||
| 2,036,555 | 3.750 | 07/20/22 | 2,052,257 | |||||||||||
| Starwood Property Trust, Inc. |
| ||||||||||||
| 2,268,755 | 3.500 | 04/17/20 | 2,267,054 | |||||||||||
|
| |||||||||||||
| 6,777,462 | ||||||||||||||
|
| |||||||||||||
| Restaurants – 0.2% | ||||||||||||||
| 1011778 B.C. Unlimited Liability Co. |
| ||||||||||||
| 3,334,933 | 3.750 | 12/10/21 | 3,348,840 | |||||||||||
|
| |||||||||||||
| Retailers – 0.9% | ||||||||||||||
| Burlington Coat Factory Warehouse Corp. |
| ||||||||||||
| 2,629,604 | 3.500 | 08/13/21 | 2,646,854 | |||||||||||
| Neiman Marcus Group Ltd., Inc. |
| ||||||||||||
| 9,349,557 | 4.250 | 10/25/20 | 8,589,905 | |||||||||||
|
| |||||||||||||
| 28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INCOME BUILDER FUND
| Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
| Bank Loans(j) – (continued) | ||||||||||||||
| Retailers – (continued) | ||||||||||||||
| PetSmart, Inc. |
| ||||||||||||
| $ | 6,228,515 | 4.000 | % | 03/11/22 | $ | 6,240,723 | ||||||||
| True Religion Apparel, Inc. |
| ||||||||||||
| 4,197,750 | 5.875 | 07/30/19 | 1,079,410 | |||||||||||
|
| |||||||||||||
| 18,556,892 | ||||||||||||||
|
| |||||||||||||
| Retailers – Food & Drug – 0.1% | ||||||||||||||
| Rite Aid Corp. |
| ||||||||||||
| 1,750,000 | 4.875 | 06/21/21 | 1,755,110 | |||||||||||
|
| |||||||||||||
| Services Cyclical – Business Services – 0.2% | ||||||||||||||
| ADS Waste Holdings, Inc. |
| ||||||||||||
| 2,306,192 | 3.750 | 10/09/19 | 2,306,837 | |||||||||||
| Sabre, Inc. | ||||||||||||||
| 2,727,039 | 4.000 | 02/19/19 | 2,737,266 | |||||||||||
|
| |||||||||||||
| 5,044,103 | ||||||||||||||
|
| |||||||||||||
| Technology – Software/Services – 2.1% | ||||||||||||||
| Aspect Software, Inc. |
| ||||||||||||
| 5,528,071 | 10.500 | 05/25/20 | 5,486,610 | |||||||||||
| Avago Technologies Cayman Ltd. |
| ||||||||||||
| 7,826,743 | 3.535 | 02/01/23 | 7,903,915 | |||||||||||
| Avast Software BV |
| ||||||||||||
| 2,250,000 | 5.000 | 09/30/22 | 2,270,250 | |||||||||||
| BMC Software Finance, Inc. |
| ||||||||||||
| 7,733,778 | 5.000 | 09/10/20 | 7,610,502 | |||||||||||
| Global Payments, Inc. |
| ||||||||||||
| 908,304 | 3.500 | 04/22/23 | 913,981 | |||||||||||
| Infor (US), Inc. |
| ||||||||||||
| 3,250,000 | 3.750 | 06/03/20 | 3,239,567 | |||||||||||
| MA FinanceCo., LLC |
| ||||||||||||
| 5,860,980 | 4.500 | 11/20/19 | 5,876,863 | |||||||||||
| Micron Technology, Inc. |
| ||||||||||||
| 3,291,750 | 4.280 | 04/26/22 | 3,310,283 | |||||||||||
| NXP BV |
| ||||||||||||
| 3,132,554 | 3.405 | 12/07/20 | 3,142,140 | |||||||||||
| Renaissance Learning, Inc. |
| ||||||||||||
| 150,000 | 8.000 | 04/11/22 | 147,125 | |||||||||||
| SS&C Technologies, Inc. |
| ||||||||||||
| 4,659,709 | 4.000 | 07/08/22 | 4,693,212 | |||||||||||
| 567,085 | 4.000 | 07/08/22 | 571,162 | |||||||||||
|
| |||||||||||||
| 45,165,610 | ||||||||||||||
|
| |||||||||||||
| Wireless Telecommunications – 0.2% | ||||||||||||||
| Intelsat Jackson Holdings SA |
| ||||||||||||
| 3,000,000 | 3.750 | 06/30/19 | 2,865,330 | |||||||||||
| Neptune Finco Corp. |
| ||||||||||||
| 1,759,868 | 3.876 | 10/11/24 | 1,765,377 | |||||||||||
|
| |||||||||||||
| 4,630,707 | ||||||||||||||
|
| |||||||||||||
| Wirelines Telecommunications – 0.2% | ||||||||||||||
| Level 3 Financing, Inc. |
| ||||||||||||
| 4,850,000 | 4.000 | 08/01/19 | 4,870,807 | |||||||||||
|
| |||||||||||||
| TOTAL BANK LOANS | ||||||||||||||
| (Cost $208,813,450) | $ | 204,797,077 | ||||||||||||
|
| |||||||||||||
Shares | Description | Value | ||||||||||||
| U.S. Treasury Obligation(k) – 3.0% | ||||||||||||||
| United States Treasury Note |
| ||||||||||||
| 64,200,000 | 1.375 | % | 09/30/20 | $ | 64,641,699 | |||||||||
| (Cost $64,512,693) | ||||||||||||||
|
| |||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||
| (Cost $64,512,693) | $ | 64,641,699 | ||||||||||||
|
| |||||||||||||
| Shares | Distribution Rate | Value | ||||||
| Investment Companies(b)(d) – 0.2% | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||||
| 637 | 0.300 | % | $ | 637 | ||||
Goldman Sachs High Yield Fund – Institutional Shares |
| |||||||
| 475,572 | 4.880 | % | 3,072,194 | |||||
| ||||||||
| TOTAL INVESTMENT COMPANIES | ||||||||
| (Cost $3,437,872) | $ | 3,072,831 | ||||||
| ||||||||
| Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
| Short-term Investments – 0.6% | ||||||||||||||
| Certificates of Deposit – 0.3% | ||||||||||||||
| Credit Suisse New York |
| ||||||||||||
| $ | 2,500,000 | 1.690 | % | 09/28/17 | $ | 2,501,239 | ||||||||
| ING Funding LLC |
| ||||||||||||
| 3,150,000 | 1.228 | 06/09/17 | 3,152,423 | |||||||||||
|
| |||||||||||||
| 5,653,662 | ||||||||||||||
|
| |||||||||||||
| Commercial Paper(h) – 0.3% | ||||||||||||||
| Ford Motor Credit Co. LLC |
| ||||||||||||
| 2,500,000 | 0.00 | % | 05/15/17 | 2,481,244 | ||||||||||
| Whirlpool Corp. |
| ||||||||||||
| 5,000,000 | 0.00 | % | 12/28/16 | 4,992,320 | ||||||||||
|
| |||||||||||||
| 7,473,564 | ||||||||||||||
|
| |||||||||||||
| TOTAL SHORT-TERM INVESTMENTS | ||||||||||||||
| (Cost $13,122,685) | $ | 13,127,226 | ||||||||||||
|
| |||||||||||||
| TOTAL INVESTMENTS – 98.4% | ||||||||||||||
| (Cost $2,051,609,519) | $ | 2,106,436,996 | ||||||||||||
|
| |||||||||||||
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 1.6% | | 33,960,965 | |||||||||||
|
| |||||||||||||
| NET ASSETS – 100.0% | $ | 2,140,397,961 | ||||||||||||
|
| |||||||||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Security is currently in default and/or non-income producing. | |
(b) | Represents an affiliated issuer/fund. | |
| The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS INCOME BUILDER FUND
Schedule of Investments (continued)
October 31, 2016
(c) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered and the registration statement is effective. Disposal of these securities may involve time consuming negotiations and prompt sale at an acceptable price may be difficult. Total market value of restricted securities amounts to $3,556,396, which represents approximately 0.2% of net assets as of October 31, 2016. See additional details below: |
| Restricted Security | Acquisition Date | Cost | ||||||||
Magnum Hunter Resources Corp. PI | 05/06/16 - 08/18/16 | $ | 2,586,550 | |||||||
Magnum Hunter Resources, Inc. | 05/06/16 - 08/08/16 | 382,057 | ||||||||
(d) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on October 31, 2016. | |
(e) | Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. | |
(f) | Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $389,702,040, which represents approximately 18.2% of net assets as of October 31, 2016. | |
(g) | Pay-in-kind securities. | |
(h) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
(i) | Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. | |
(j) | Bank Loans often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The stated interest rate represents the weighted average interest rate of all contracts within the bank loan facility on October 31, 2016. Bank Loans typically have rates of interest which are predetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders. | |
(k) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
| ||
Currency Abbreviations: | ||
EUR | —Euro | |
GBP | —British Pound | |
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
BP | —British Pound Offered Rate | |
LLC | —Limited Liability Company | |
LP | —Limited Partnership | |
PI | —Private Investment | |
PLC | —Public Limited Company | |
| ||
| 30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INCOME BUILDER FUND
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At October 31, 2016, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
| Counterparty | Currency Purchased | Currency Sold | Current Value | Settlement Date | Unrealized Gain | |||||||||||||||||||
Morgan Stanley & Co. | USD | 22,664,205 | GBP | 17,048,511 | $ | 20,873,785 | 11/16/16 | $ | 1,790,421 | |||||||||||||||
Royal Bank of Canada | USD | 11,707,260 | EUR | 10,615,393 | 11,657,646 | 11/10/16 | 49,614 | |||||||||||||||||
Westpac Banking Corp. | USD | 10,843,606 | EUR | 9,614,362 | 10,558,331 | 11/10/16 | 285,275 | |||||||||||||||||
| TOTAL | $ | 2,125,310 | ||||||||||||||||||||||
FUTURES CONTRACTS — At October 31, 2016, the Fund had the following futures contracts:
| Type | Number of Contracts Long (Short) | Expiration Date | Current Value | Unrealized Gain (Loss) | ||||||||||
2 Year U.S. Treasury Notes | 134 | December 2016 | $ | 29,230,844 | $ | 31,584 | ||||||||
5 Year U.S. Treasury Notes | 755 | December 2016 | 91,201,641 | 42,217 | ||||||||||
10 Year U.S. Treasury Notes | 249 | December 2016 | 32,276,625 | (107,194 | ) | |||||||||
20 Year U.S. Treasury Bonds | (423 | ) | December 2016 | (68,830,031 | ) | 2,842,404 | ||||||||
Ultra Long U.S. Treasury Bonds | (91 | ) | December 2016 | (16,010,313 | ) | 833,722 | ||||||||
| TOTAL | $ | 3,642,733 | ||||||||||||
WRITTEN OPTIONS CONTRACTS — For the period ended October 31, 2016 the Fund had following written options:
OPTIONS ON EQUITIES CONTRACTS
| Counterparty | Description | Contracts | Expiration Date | Strike Price | Value | |||||||||||||
Morgan Stanley & Co. International PLC | Call - S&P 500 Index | $ | 47,929 | 11/11/16 | 2,220 | % | $ | (16,075 | ) | |||||||||
| Call - S&P 500 Index | 47,729 | 11/18/16 | 2,200 | (107,236 | ) | |||||||||||||
| Call - S&P 500 Index | 47,784 | 11/25/16 | 2,210 | (91,807 | ) | |||||||||||||
UBS AG (London) | Call - S&P 500 Index | 47,085 | 11/04/16 | 2,210 | (2,357 | ) | ||||||||||||
| TOTAL (Premium Received $438,228) | 190,527 | $ | (217,475 | ) | ||||||||||||||
OPTIONS ON EQUITIES CONTRACTS — For the period ended October 31, 2016, the Fund had the following written equity options activity:
| Contracts | Premiums Received | |||||||
Contracts Outstanding October 31, 2015 | — | $ | — | |||||
Contracts Written | 663,022 | 1,647,985 | ||||||
Contracts Expired | (472,495 | ) | (1,209,757 | ) | ||||
Contracts Outstanding October 31, 2016 | 190,527 | $ | 438,228 | |||||
| The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS RISING DIVIDEND GROWTH FUND
Schedule of Investments
October 31, 2016
Shares | Description | Value | ||||||
| Common Stocks – 97.9% | ||||||||
| Aerospace & Defense – 1.2% | ||||||||
| 300,000 | United Technologies Corp. | $ | 30,660,000 | |||||
|
| |||||||
| Banks – 2.0% | ||||||||
| 1,335,000 | Bank of the Ozarks, Inc. | 49,341,600 | ||||||
|
| |||||||
| Beverages – 1.5% | ||||||||
| 350,000 | PepsiCo., Inc. | 37,520,000 | ||||||
|
| |||||||
| Capital Markets – 3.7% | ||||||||
| 265,000 | FactSet Research Systems, Inc. | 41,000,800 | ||||||
| 730,000 | SEI Investments Co. | 32,360,900 | ||||||
| 320,000 | T. Rowe Price Group, Inc. | 20,483,200 | ||||||
|
| |||||||
| 93,844,900 | ||||||||
|
| |||||||
| Chemicals – 9.6% | ||||||||
| 590,000 | Ecolab, Inc. | 67,360,300 | ||||||
| 435,000 | Monsanto Co. | 43,834,950 | ||||||
| 290,000 | The Sherwin-Williams Co. | 71,009,400 | ||||||
| 585,000 | The Valspar Corp. | 58,266,000 | ||||||
|
| |||||||
| 240,470,650 | ||||||||
|
| |||||||
| Communications Equipment – 2.7% | ||||||||
| 750,000 | Harris Corp. | 66,907,500 | ||||||
|
| |||||||
| Equity Real Estate Investment Trusts (REITs) – 0.5% | ||||||||
| 135,000 | Digital Realty Trust, Inc. | 12,613,050 | ||||||
|
| |||||||
| Food & Staples Retailing – 3.2% | ||||||||
| 20,000 | Casey’s General Stores, Inc. | 2,259,800 | ||||||
| 916,000 | CVS Health Corp. | 77,035,600 | ||||||
|
| |||||||
| 79,295,400 | ||||||||
|
| |||||||
| Food Products – 2.8% | ||||||||
| 100,000 | Flowers Foods, Inc. | 1,552,000 | ||||||
| 1,765,000 | Hormel Foods Corp. | 67,952,500 | ||||||
|
| |||||||
| 69,504,500 | ||||||||
|
| |||||||
| Health Care Providers & Services – 3.0% | ||||||||
| 1,100,000 | Cardinal Health, Inc. | 75,559,000 | ||||||
|
| |||||||
| Household Products – 1.5% | ||||||||
| 800,000 | Church & Dwight Co., Inc. | 38,608,000 | ||||||
|
| |||||||
| Industrial Conglomerates – 2.4% | ||||||||
| 345,000 | Roper Technologies, Inc. | 59,791,950 | ||||||
|
| |||||||
| Insurance – 4.3% | ||||||||
| 495,000 | Aflac, Inc. | 34,090,650 | ||||||
| 580,000 | Chubb Ltd. | 73,660,000 | ||||||
|
| |||||||
| 107,750,650 | ||||||||
|
| |||||||
| IT Services – 3.9% | ||||||||
| 715,000 | Automatic Data Processing, Inc. | 62,247,900 | ||||||
| 425,000 | Jack Henry & Associates, Inc. | 34,433,500 | ||||||
|
| |||||||
| 96,681,400 | ||||||||
|
| |||||||
| Leisure Products – 2.2% | ||||||||
| 710,000 | Polaris Industries, Inc. | 54,393,100 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Machinery – 4.3% | ||||||||
| 620,000 | Illinois Tool Works, Inc. | $ | 70,413,400 | |||||
| 310,000 | Parker-Hannifin Corp. | 38,052,500 | ||||||
|
| |||||||
| 108,465,900 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels – 23.5% | ||||||||
| 235,000 | Antero Midstream Partners LP | 6,847,900 | ||||||
| 370,000 | Buckeye Partners LP | 23,879,800 | ||||||
| 400,000 | Columbia Pipeline Partners LP | 6,400,000 | ||||||
| 1,670,000 | Enable Midstream Partners LP | 24,582,400 | ||||||
| 2,346,000 | Energy Transfer Equity LP | 35,025,780 | ||||||
| 1,560,000 | Enterprise Products Partners LP | 39,374,400 | ||||||
| 935,000 | EOG Resources, Inc. | 84,542,700 | ||||||
| 655,000 | EQT Midstream Partners LP | 49,039,850 | ||||||
| 1,150,000 | Genesis Energy LP | 40,169,500 | ||||||
| 674,000 | Magellan Midstream Partners LP | 45,313,020 | ||||||
| 230,000 | Spectra Energy Partners LP | 9,807,200 | ||||||
| 1,860,000 | Suncor Energy, Inc. | 55,837,200 | ||||||
| 1,135,000 | Sunoco Logistics Partners LP | 29,101,400 | ||||||
| 1,050,000 | Tallgrass Energy GP LP | 24,706,500 | ||||||
| 440,000 | Tallgrass Energy Partners LP | 19,901,200 | ||||||
| 665,000 | Tesoro Logistics LP | 31,747,100 | ||||||
| 560,000 | Western Gas Partners LP | 30,884,000 | ||||||
| 865,000 | Williams Partners LP | 30,984,300 | ||||||
|
| |||||||
| 588,144,250 | ||||||||
|
| |||||||
| Pharmaceuticals – 6.9% | ||||||||
| 1,585,000 | Novo Nordisk A/S ADR | 56,330,900 | ||||||
| 580,000 | Perrigo Co. PLC | 48,250,200 | ||||||
| 2,420,000 | Roche Holding AG ADR | 69,393,500 | ||||||
|
| |||||||
| 173,974,600 | ||||||||
|
| |||||||
| Road & Rail – 2.8% | ||||||||
| 1,125,000 | Canadian National Railway Co. | 70,728,750 | ||||||
|
| |||||||
| Software – 2.6% | ||||||||
| 1,100,000 | Microsoft Corp. | 65,912,000 | ||||||
|
| |||||||
| Specialty Retail – 8.6% | ||||||||
| 1,200,000 | Lowe’s Cos., Inc. | �� | 79,980,000 | |||||
| 825,000 | Ross Stores, Inc. | 51,595,500 | ||||||
| 1,130,000 | The TJX Cos., Inc. | 83,337,500 | ||||||
|
| |||||||
| 214,913,000 | ||||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods – 4.7% | ||||||||
| 1,515,000 | NIKE, Inc. Class B | 76,022,700 | ||||||
| 745,000 | VF Corp. | 40,386,450 | ||||||
|
| |||||||
| 116,409,150 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $1,949,154,337) | $ | 2,451,489,350 | ||||||
|
| |||||||
| 32 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS RISING DIVIDEND GROWTH FUND
| Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
| Short-term Investment(a) – 1.7% | ||||||||||||||
| Repurchase Agreements – 1.7% | ||||||||||||||
| Joint Repurchase Agreement Account II |
| ||||||||||||
| $ | 43,100,000 | 0.338 | % | 11/01/16 | $ | 43,100,000 | ||||||||
| (Cost $43,100,000) | ||||||||||||||
|
| |||||||||||||
| TOTAL INVESTMENTS – 99.6% | ||||||||||||||
| (Cost $1,992,254,337) | $ | 2,494,589,350 | ||||||||||||
|
| |||||||||||||
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 0.4% | | 9,786,116 | |||||||||||
|
| |||||||||||||
| NET ASSETS – 100.0% | $ | 2,504,375,466 | ||||||||||||
|
| |||||||||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Joint repurchase agreement was entered into on October 31, 2016. Additional information appears on pages 34-35. | |
| ||
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
GP | —General Partnership | |
LP | —Limited Partnership | |
PLC | —Public Limited Company | |
| ||
| The accompanying notes are an integral part of these financial statements. | 33 |
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Schedule of Investments
October 31, 2016 (Unaudited)
| ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At October 31, 2016, the Rising Dividend Growth Fund had undivided interests in the Joint Repurchase Agreement Account II, with a maturity date of November 1, 2016, as follows:
| Fund | Principal Amount | Maturity Value | Collateral Allocation Value | |||||||
Rising Dividend Growth | $ | 43,100,000 | $ | 43,100,465 | $43,962,001 | |||||
REPURCHASE AGREEMENTS — At October 31, 2016, the Principal Amount of the Fund’s interest in the Joint Repurchase Agreement Account II was as follows:
| Counterparty | Interest Rate | Rising Dividend Growth | ||||||
BNP Paribas Securities Co. | 0.340 | % | $ | 131,747 | ||||
Citigroup Global Markets, Inc. | 0.340 | 7,791,878 | ||||||
Merrill Lynch & Co., Inc. | 0.340 | 31,180,058 | ||||||
Merrill Lynch & Co., Inc. | 0.320 | 3,996,317 | ||||||
| TOTAL | $ | 43,100,000 | ||||||
| 34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
| ADDITIONAL INVESTMENT INFORMATION (continued) |
At October 31, 2016, the Joint Repurchase Agreement Account II was fully collateralized by:
| Issuer | Interest Rates | Maturity Dates | ||||||
Federal Home Loan Mortgage Corp. | 3.500% to 8.000 | % | 01/01/17 to 08/01/46 | |||||
Federal National Mortgage Association | 2.500 to 9.000 | 02/01/17 to 10/01/46 | ||||||
Government National Mortgage Association | 2.500 to 7.500 | 02/15/25 to 10/20/46 | ||||||
United States Treasury Inflation Protected Securities | 0.750 | 02/15/42 | ||||||
U.S. Treasury Bonds | 3.125 to 8.750 | 08/15/20 to 05/15/44 | ||||||
U.S. Treasury Notes | 0.875 to 4.250 | 11/15/17 to 07/31/23 | ||||||
United States Treasury Stripped Securities | 0.000 | 02/15/29 | ||||||
| The accompanying notes are an integral part of these financial statements. | 35 |
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Statements of Assets and Liabilities
October 31, 2016
| Income Builder Fund | Rising Dividend Growth Fund | |||||||||
| Assets: | ||||||||||
Investments of unaffiliated issuers, at value (cost $2,045,203,040 and $1,992,254,337) | $ | 2,099,807,769 | $ | 2,494,589,350 | ||||||
Investments of affiliated issuers, at value (cost $6,406,479 and $0) | 6,629,227 | — | ||||||||
Cash | 28,890,290 | 49,576 | ||||||||
Foreign currencies, at value (cost $2,855 and $0, respectively) | 2,843 | — | ||||||||
Unrealized gain on forward foreign currency exchange contracts | 2,125,310 | — | ||||||||
Receivables: | ||||||||||
Investments sold | 12,374,026 | 20,563,177 | ||||||||
Dividends and interest | 17,278,545 | 4,200,626 | ||||||||
Fund shares sold | 2,879,452 | 1,299,943 | ||||||||
Due from broker — upfront payment | 228,437 | — | ||||||||
Foreign tax reclaims | 227,707 | 2,723,319 | ||||||||
Reimbursement from investment adviser | 42,488 | 40,655 | ||||||||
Other assets | 875 | 263 | ||||||||
| Total assets | 2,170,486,969 | 2,523,466,909 | ||||||||
| Liabilities: | ||||||||||
Variation margin on certain derivative contracts | 243,562 | — | ||||||||
Written option contracts, at value (premium received $438,228 and $0, respectively) | 217,475 | — | ||||||||
Payables: | ||||||||||
Investments purchased on an extended — settlement basis | 16,371,149 | — | ||||||||
Investments purchased | 6,612,929 | 4,977,980 | ||||||||
Fund shares redeemed | 4,549,475 | 11,311,736 | ||||||||
Distribution and Service fees and Transfer Agency fees | 960,742 | 962,501 | ||||||||
Management fees | 929,053 | 1,554,382 | ||||||||
Accrued expenses and other liabilities | 204,623 | 284,844 | ||||||||
| Total liabilities | 30,089,008 | 19,091,443 | ||||||||
| Net Assets: | ||||||||||
Paid-in capital | 2,217,097,175 | 1,993,173,189 | ||||||||
Undistributed (distributions in excess of) net investment income | 1,199,838 | (20,806,995 | ) | |||||||
Accumulated net realized gain (loss) | (138,649,394 | ) | 29,674,259 | |||||||
Net unrealized gain | 60,750,342 | 502,335,013 | ||||||||
| NET ASSETS | $ | 2,140,397,961 | $ | 2,504,375,466 | ||||||
Net Assets: | ||||||||||
Class A | $ | 574,573,639 | $ | 697,429,786 | ||||||
Class C | 682,818,962 | 571,437,616 | ||||||||
Institutional | 740,182,284 | 958,316,784 | ||||||||
Class IR | 142,812,903 | 272,442,175 | ||||||||
Class R | — | 4,749,105 | ||||||||
Class R6 | 10,173 | — | ||||||||
Total Net Assets | $ | 2,140,397,961 | $ | 2,504,375,466 | ||||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||||||
Class A | 26,603,561 | 35,475,071 | ||||||||
Class C | 32,116,307 | 28,881,049 | ||||||||
Institutional | 33,588,280 | 47,724,603 | ||||||||
Class IR | 6,497,253 | 13,577,043 | ||||||||
Class R | — | 241,895 | ||||||||
Class R6 | 462 | — | ||||||||
Net asset value, offering and redemption price per share:(a) | ||||||||||
Class A | $21.60 | $19.66 | ||||||||
Class C | 21.26 | 19.79 | ||||||||
Institutional | 22.04 | 20.08 | ||||||||
Class IR | 21.98 | 20.07 | ||||||||
\ | Class R | — | 19.63 | |||||||
Class R6 | 22.04 | — | ||||||||
| (a) | Maximum public offering price per share for Class A Shares of the Income Builder and the Rising Dividend Growth Funds is $22.86 and $20.80, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares. |
| 36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Statements of Operations
For the Fiscal Year Ended October 31, 2016
| Income Builder Fund | Rising Dividend Growth Fund | |||||||||
| Investment income: | ||||||||||
Dividends — unaffiliated issuers (net of foreign withholding taxes of $704,270 and $1,361,910) | $ | 29,297,070 | $ | 45,263,309 | ||||||
Dividends — affiliated issuers | 234,447 | — | ||||||||
Interest | 72,567,172 | 256,035 | ||||||||
| Total investment income | 102,098,689 | 45,519,344 | ||||||||
| Expenses: | ||||||||||
Management fees | 13,330,631 | 21,087,560 | ||||||||
Distribution and Service fees(a) | 8,471,994 | 8,784,633 | ||||||||
Transfer Agency fees(a) | 3,029,653 | 4,044,996 | ||||||||
Custody, accounting and administrative services | 271,304 | 243,982 | ||||||||
Printing and mailing costs | 270,577 | 395,943 | ||||||||
Registration fees | 177,738 | 189,997 | ||||||||
Professional fees | 131,381 | 69,159 | ||||||||
Trustee fees | 24,642 | 27,150 | ||||||||
Other | 81,796 | 108,511 | ||||||||
| Total expenses | 25,789,716 | 34,951,931 | ||||||||
Less — expense reductions | (2,575,478 | ) | (606,264 | ) | ||||||
| Net expenses | 23,214,238 | 34,345,667 | ||||||||
| NET INVESTMENT INCOME | 78,884,451 | 11,173,677 | ||||||||
| Realized and unrealized gain (loss): | ||||||||||
Net realized gain (loss) from: | ||||||||||
Investments — unaffiliated issuers (including commission recapture of $4,924 and $0) | (109,364,060 | ) | 64,118,758 | |||||||
Futures contracts | (11,345,465 | ) | — | |||||||
Written options | 1,209,757 | — | ||||||||
Forward foreign currency exchange contracts | 3,060,102 | — | ||||||||
Foreign currency transactions | (218,992 | ) | (11,164 | ) | ||||||
Net change in unrealized gain (loss) on: | ||||||||||
Investments — unaffiliated issuers | 84,265,029 | (204,537,263 | ) | |||||||
Investments — affiliated issuers | 612,762 | — | ||||||||
Futures contracts | 4,618,273 | — | ||||||||
Written options | 220,752 | — | ||||||||
Forward foreign currency exchange contracts | 2,355,508 | — | ||||||||
Foreign currency translation | (64,651 | ) | — | |||||||
| Net realized and unrealized loss | (24,650,985 | ) | (140,429,669 | ) | ||||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 54,233,466 | $ | (129,255,992 | ) | |||||
| (a) | Class specific Distribution and Service and Transfer Agency fees were as follows: |
| Distribution and Service Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||
Fund | Class A | Class C | Class R | Class A | Class C | Institutional | Class IR | Class R | Class R6 | |||||||||||||||||||||||||||
Income Builder | $ | 1,568,117 | $ | 6,903,877 | $ | — | $ | 1,191,769 | $ | 1,311,737 | $ | 289,623 | $ | 236,521 | $ | — | $ | 3 | ||||||||||||||||||
Rising Dividend Growth | 2,185,420 | 6,575,360 | 23,853 | 1,660,919 | 1,249,319 | 472,016 | 653,678 | 9,064 | — | |||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Statements of Changes in Net Assets
| Income Builder Fund | ||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||
| From operations: | ||||||||||
Net investment income | $ | 78,884,451 | $ | 78,282,345 | ||||||
Net realized loss | (116,658,658 | ) | (17,376,216 | ) | ||||||
Net change in unrealized gain (loss) | 92,007,673 | (79,279,212 | ) | |||||||
| Net increase (decrease) in net assets resulting from operations | 54,233,466 | (18,373,083 | ) | |||||||
| Distributions to shareholders: | ||||||||||
From net investment income | ||||||||||
Class A Shares | (23,623,727 | ) | (25,272,901 | ) | ||||||
Class C Shares | (21,479,735 | ) | (19,196,423 | ) | ||||||
Institutional Shares | (29,565,682 | ) | (27,929,995 | ) | ||||||
Class IR Shares | (4,918,271 | ) | (4,386,513 | ) | ||||||
Class R6 Shares(a) | (399 | ) | (100 | ) | ||||||
Return of capital | ||||||||||
Class A Shares | — | (2,841,064 | ) | |||||||
Class C Shares | — | (2,157,975 | ) | |||||||
Institutional Shares | — | (3,139,763 | ) | |||||||
Class IR Shares | — | (493,112 | ) | |||||||
Class R6 Shares(a) | — | (11 | ) | |||||||
| Total distributions to shareholders | (79,587,814 | ) | (85,417,857 | ) | ||||||
| From share transactions: | ||||||||||
Proceeds from sales of shares | 664,843,281 | 1,079,141,908 | ||||||||
Reinvestment of distributions | 70,651,516 | 75,118,014 | ||||||||
Cost of shares redeemed | (879,887,243 | ) | (674,836,151 | ) | ||||||
| Net increase (decrease) in net assets resulting from share transactions | (144,392,446 | ) | 479,423,771 | |||||||
| TOTAL INCREASE (DECREASE) | (169,746,794 | ) | 375,632,831 | |||||||
| Net assets: | ||||||||||
Beginning of year | 2,310,144,755 | 1,934,511,924 | ||||||||
End of year | $ | 2,140,397,961 | $ | 2,310,144,755 | ||||||
| Undistributed (distributions in excess of) net investment income | $ | 1,199,838 | $ | (2,399,866 | ) | |||||
| (a) | Commenced operations on July 31, 2015. |
| 38 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Statements of Changes in Net Assets
| Rising Dividend Growth Fund | ||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||
| From operations: | ||||||||||
Net investment income | $ | 11,173,677 | $ | 13,315,816 | ||||||
Net realized gain (loss) | 64,107,594 | (19,902,659 | ) | |||||||
Net change in unrealized loss | (204,537,263 | ) | (71,345,396 | ) | ||||||
| Net decrease in net assets resulting from operations | (129,255,992 | ) | (77,932,239 | ) | ||||||
| Distributions to shareholders: | ||||||||||
From net investment income | ||||||||||
Class A Shares | (4,554,978 | ) | (5,209,223 | ) | ||||||
Class C Shares | (1,719,715 | ) | (809,923 | ) | ||||||
Institutional Shares | (7,969,052 | ) | (10,560,502 | ) | ||||||
Class IR Shares | (2,116,224 | ) | (2,740,540 | ) | ||||||
Class R Shares | (22,185 | ) | (15,469 | ) | ||||||
| From net realized gains | ||||||||||
Class A Shares | (6,170,307 | ) | — | |||||||
Class C Shares | (2,329,578 | ) | — | |||||||
Institutional Shares | (10,795,114 | ) | — | |||||||
Class IR Shares | (2,866,700 | ) | — | |||||||
Class R Shares | (30,052 | ) | — | |||||||
Return of capital | ||||||||||
Class A Shares | — | (5,665,776 | ) | |||||||
Class C Shares | — | (880,908 | ) | |||||||
Institutional Shares | — | (11,486,057 | ) | |||||||
Class IR Shares | — | (2,980,729 | ) | |||||||
Class R Shares | — | (16,824 | ) | |||||||
| Total distributions to shareholders | (38,573,905 | ) | (40,365,951 | ) | ||||||
| From share transactions: | ||||||||||
Proceeds from sales of shares | 391,463,726 | 1,287,414,003 | ||||||||
Reinvestment of distributions | 33,367,494 | 34,426,282 | ||||||||
Cost of shares redeemed | (1,457,677,449 | ) | (1,139,920,958 | ) | ||||||
| Net increase (decrease) in net assets resulting from share transactions | (1,032,846,229 | ) | 181,919,327 | |||||||
| TOTAL INCREASE (DECREASE) | (1,200,676,126 | ) | 63,621,137 | |||||||
| Net assets: | ||||||||||
Beginning of year | 3,705,051,592 | 3,641,430,455 | ||||||||
End of year | $ | 2,504,375,466 | $ | 3,705,051,592 | ||||||
| Distributions in excess of net investment income | $ | (20,806,995 | ) | $ | (18,013,483 | ) | ||||
| The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS INCOME BUILDER FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| From investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||||
| Year - Share Class | Net asset | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | From capital | Total distributions | ||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||||
2016 - A | $ | 21.77 | $ | 0.79 | $ | (0.16 | ) | $ | 0.63 | $ | (0.80 | ) | $ | — | $ | — | $ | (0.80 | ) | |||||||||||||||
2016 - C | 21.45 | 0.62 | (0.16 | ) | 0.46 | (0.65 | ) | — | — | (0.65 | ) | |||||||||||||||||||||||
2016 - Institutional | 22.20 | 0.89 | (0.17 | ) | 0.72 | (0.88 | ) | — | — | (0.88 | ) | |||||||||||||||||||||||
2016 - IR | 22.14 | 0.85 | (0.16 | ) | 0.69 | (0.85 | ) | — | — | (0.85 | ) | |||||||||||||||||||||||
2016 - R6 | 22.20 | 0.89 | (0.17 | ) | 0.72 | (0.88 | ) | — | — | (0.88 | ) | |||||||||||||||||||||||
2015 - A | 22.83 | 0.84 | (0.99 | ) | (0.15 | ) | (0.82 | ) | — | (0.09 | ) | (0.91 | ) | |||||||||||||||||||||
2015 - C | 22.51 | 0.66 | (0.98 | ) | (0.32 | ) | (0.66 | ) | — | (0.08 | ) | (0.74 | ) | |||||||||||||||||||||
2015 - Institutional | 23.25 | 0.94 | (0.99 | ) | (0.05 | ) | (0.90 | ) | — | (0.10 | ) | (1.00 | ) | |||||||||||||||||||||
2015 - IR | 23.20 | 0.91 | (1.01 | ) | (0.10 | ) | (0.86 | ) | — | (0.10 | ) | (0.96 | ) | |||||||||||||||||||||
2015 - R6 (Commenced July 31, 2015) | 22.83 | 0.18 | (0.56 | ) | (0.38 | ) | (0.22 | ) | — | (0.03 | ) | (0.25 | ) | |||||||||||||||||||||
2014 - A | 22.47 | 0.89 | 0.64 | 1.53 | (0.96 | ) | (0.21 | ) | — | (1.17 | ) | |||||||||||||||||||||||
2014 - C | 22.17 | 0.70 | 0.65 | 1.35 | (0.80 | ) | (0.21 | ) | — | (1.01 | ) | |||||||||||||||||||||||
2014 - Institutional | 22.86 | 1.01 | 0.64 | 1.65 | (1.05 | ) | (0.21 | ) | — | (1.26 | ) | |||||||||||||||||||||||
2014 - IR | 22.81 | 0.96 | 0.66 | 1.62 | (1.02 | ) | (0.21 | ) | — | (1.23 | ) | |||||||||||||||||||||||
2013 - A | 20.99 | 0.75 | 2.21 | 2.96 | (0.88 | ) | (0.60 | ) | — | (1.48 | ) | |||||||||||||||||||||||
2013 - C | 20.74 | 0.57 | 2.19 | 2.76 | (0.73 | ) | (0.60 | ) | — | (1.33 | ) | |||||||||||||||||||||||
2013 - Institutional | 21.33 | 0.83 | 2.27 | 3.10 | (0.97 | ) | (0.60 | ) | — | (1.57 | ) | |||||||||||||||||||||||
2013 - IR | 21.29 | 0.79 | 2.27 | 3.06 | (0.94 | ) | (0.60 | ) | — | (1.54 | ) | |||||||||||||||||||||||
2012 - A | 19.01 | 0.55 | 1.95 | 2.50 | (0.52 | ) | — | — | (0.52 | ) | ||||||||||||||||||||||||
2012 - C | 18.79 | 0.42 | 1.90 | 2.32 | (0.37 | ) | — | — | (0.37 | ) | ||||||||||||||||||||||||
2012 - Institutional | 19.31 | 0.66 | 1.97 | 2.63 | (0.61 | ) | — | — | (0.61 | ) | ||||||||||||||||||||||||
2012 - IR | 19.28 | 0.57 | 2.02 | 2.59 | (0.58 | ) | — | — | (0.58 | ) | ||||||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (c) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (e) | Annualized. |
| 40 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INCOME BUILDER FUND
| Net asset value, end of year | Total return(b) | Net assets, | Ratio of net expenses to average net assets(c) | Ratio of total expenses to average net assets(c) | Ratio of net investment income to average net assets | Portfolio turnover rate(d) | ||||||||||||||||||||||||||||||||||
| $ | 21.60 | 3.04 | % | $ | 574,574 | 0.98 | % | 1.10 | % | 3.75 | % | 80 | % | |||||||||||||||||||||||||||
| 21.26 | 2.25 | 682,819 | 1.73 | 1.85 | 2.98 | 80 | ||||||||||||||||||||||||||||||||||
| 22.04 | 3.42 | 740,182 | 0.58 | 0.70 | 4.13 | 80 | ||||||||||||||||||||||||||||||||||
| 21.98 | 3.28 | 142,813 | 0.73 | 0.85 | 3.96 | 80 | ||||||||||||||||||||||||||||||||||
| 22.04 | 3.38 | 10 | 0.58 | 0.70 | 4.12 | 80 | ||||||||||||||||||||||||||||||||||
| 21.77 | (0.70 | ) | 708,457 | 0.97 | 1.10 | 3.73 | 57 | |||||||||||||||||||||||||||||||||
| 21.45 | (1.44 | ) | 704,566 | 1.72 | 1.85 | 2.98 | 57 | |||||||||||||||||||||||||||||||||
| 22.20 | (0.25 | ) | 766,537 | 0.57 | 0.70 | 4.13 | 57 | |||||||||||||||||||||||||||||||||
| 22.14 | (0.45 | ) | 130,575 | 0.72 | 0.85 | 3.98 | 57 | |||||||||||||||||||||||||||||||||
| 22.20 | (1.63 | ) | 10 | 0.58 | (e) | 0.69 | (e) | 3.15 | (e) | 57 | ||||||||||||||||||||||||||||||
| 22.83 | 6.96 | 660,692 | 0.95 | 1.13 | 3.89 | 52 | ||||||||||||||||||||||||||||||||||
| 22.51 | 6.20 | 530,983 | 1.70 | 1.88 | 3.10 | 52 | ||||||||||||||||||||||||||||||||||
| 23.25 | 7.39 | 644,757 | 0.55 | 0.73 | 4.31 | 52 | ||||||||||||||||||||||||||||||||||
| 23.20 | 7.24 | 94,528 | 0.70 | 0.88 | 4.13 | 52 | ||||||||||||||||||||||||||||||||||
| 22.47 | 14.81 | 279,374 | 0.97 | 1.27 | 3.48 | 53 | ||||||||||||||||||||||||||||||||||
| 22.17 | 13.94 | 155,764 | 1.71 | 2.02 | 2.64 | 53 | ||||||||||||||||||||||||||||||||||
| 22.86 | 15.25 | 180,419 | 0.56 | 0.86 | 3.74 | 53 | ||||||||||||||||||||||||||||||||||
| 22.81 | 15.06 | 33,886 | 0.71 | 1.01 | 3.55 | 53 | ||||||||||||||||||||||||||||||||||
| 20.99 | 13.26 | 95,116 | 1.05 | 1.44 | 2.73 | 369 | ||||||||||||||||||||||||||||||||||
| 20.74 | 12.39 | 18,699 | 1.80 | 2.21 | 2.09 | 369 | ||||||||||||||||||||||||||||||||||
| 21.33 | 13.74 | 13,601 | 0.65 | 1.06 | 3.21 | 369 | ||||||||||||||||||||||||||||||||||
| 21.29 | 13.55 | 1,639 | 0.80 | 1.19 | 2.77 | 369 | ||||||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 41 |
GOLDMAN SACHS RISING DIVIDEND GROWTH FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| From Investment Operations | Distributions to shareholders | |||||||||||||||||||||||||||||||||
| Year - Share Class | Net asset | Net investment income (loss)(a) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | From capital | Total distributions | ||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||||
2016 - A | $ | 20.68 | $ | 0.07 | $ | (0.83 | ) | $ | (0.76 | ) | $ | (0.12 | ) | $ | (0.14 | ) | $ | — | $ | (0.26 | ) | |||||||||||||
2016 - C | 20.84 | (0.08 | ) | (0.84 | ) | (0.92 | ) | (0.06 | ) | (0.07 | ) | — | (0.13 | ) | ||||||||||||||||||||
2016 - Institutional | 21.12 | 0.15 | (0.85 | ) | (0.70 | ) | (0.15 | ) | (0.19 | ) | — | (0.34 | ) | |||||||||||||||||||||
2016 - IR | 21.10 | 0.12 | (0.84 | ) | (0.72 | ) | (0.14 | ) | (0.17 | ) | — | (0.31 | ) | |||||||||||||||||||||
2016 - R | 20.66 | 0.02 | (0.84 | ) | (0.82 | ) | (0.08 | ) | (0.13 | ) | — | (0.21 | ) | |||||||||||||||||||||
2015 - A | 21.25 | 0.06 | (0.42 | ) | (0.36 | ) | (0.10 | ) | — | (0.11 | ) | (0.21 | ) | |||||||||||||||||||||
2015 - C | 21.41 | (0.10 | ) | (0.42 | ) | (0.52 | ) | (0.02 | ) | — | (0.03 | ) | (0.05 | ) | ||||||||||||||||||||
2015 - Institutional | 21.69 | 0.15 | (0.43 | ) | (0.28 | ) | (0.14 | ) | — | (0.15 | ) | (0.29 | ) | |||||||||||||||||||||
2015 - IR | 21.68 | 0.11 | (0.43 | ) | (0.32 | ) | (0.13 | ) | — | (0.13 | ) | (0.26 | ) | |||||||||||||||||||||
2015 - R | 21.20 | 0.01 | (0.43 | ) | (0.42 | ) | (0.06 | ) | — | (0.06 | ) | (0.12 | ) | |||||||||||||||||||||
2014 - A | 18.50 | 0.03 | 2.88 | 2.91 | (0.07 | ) | — | (0.09 | ) | (0.16 | ) | |||||||||||||||||||||||
2014 - C | 18.65 | (0.13 | ) | 2.92 | 2.79 | (0.02 | ) | — | (0.01 | ) | (0.03 | ) | ||||||||||||||||||||||
2014 - Institutional | 18.88 | 0.11 | 2.94 | 3.05 | (0.11 | ) | — | (0.13 | ) | (0.24 | ) | |||||||||||||||||||||||
2014 - IR | 18.87 | 0.07 | 2.95 | 3.02 | (0.10 | ) | — | (0.11 | ) | (0.21 | ) | |||||||||||||||||||||||
2014 - R | 18.46 | (0.03 | ) | 2.89 | 2.86 | (0.06 | ) | — | (0.06 | ) | (0.12 | ) | ||||||||||||||||||||||
2013 - A | 15.16 | (0.03 | ) | 3.54 | 3.51 | (0.04 | ) | — | (0.13 | ) | (0.17 | ) | ||||||||||||||||||||||
2013 - C | 15.30 | (0.17 | ) | 3.58 | 3.41 | (0.02 | ) | — | (0.04 | ) | (0.06 | ) | ||||||||||||||||||||||
2013 - Institutional | 15.46 | 0.04 | 3.61 | 3.65 | (0.06 | ) | — | (0.17 | ) | (0.23 | ) | |||||||||||||||||||||||
2013 - IR | 15.46 | — | (d) | 3.61 | 3.61 | (0.04 | ) | — | (0.16 | ) | (0.20 | ) | ||||||||||||||||||||||
2013 - R | 15.15 | (0.11 | ) | 3.57 | 3.46 | (0.02 | ) | — | (0.13 | ) | (0.15 | ) | ||||||||||||||||||||||
2012 - A | 15.35 | (0.01 | ) | (0.18 | ) | (0.19 | ) | — | — | — | — | |||||||||||||||||||||||
2012 - C | 15.50 | (0.02 | ) | (0.18 | ) | (0.20 | ) | — | — | — | — | |||||||||||||||||||||||
2012 - Institutional | 15.65 | (0.01 | ) | (0.18 | ) | (0.19 | ) | — | — | — | — | |||||||||||||||||||||||
2012 - IR | 15.65 | (0.01 | ) | (0.18 | ) | (0.19 | ) | — | — | — | — | |||||||||||||||||||||||
2012 - R | 15.34 | (0.02 | ) | (0.17 | ) | (0.19 | ) | — | — | — | — | |||||||||||||||||||||||
2012 - A | 12.82 | 0.05 | 2.66 | 2.71 | (0.16 | ) | — | (0.02 | ) | (0.18 | ) | |||||||||||||||||||||||
2012 - C | 12.97 | (0.07 | ) | 2.71 | 2.64 | (0.09 | ) | — | (0.02 | ) | (0.11 | ) | ||||||||||||||||||||||
2012 - Institutional | 13.06 | 0.11 | 2.71 | 2.82 | (0.21 | ) | — | (0.02 | ) | (0.23 | ) | |||||||||||||||||||||||
2012 - IR | 15.25 | (0.01 | ) | 0.57 | 0.56 | (0.14 | ) | — | (0.02 | ) | (0.16 | ) | ||||||||||||||||||||||
2012 - R | 14.96 | (0.07 | ) | 0.57 | 0.50 | (0.10 | ) | — | (0.02 | ) | (0.12 | ) | ||||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the beginning of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. The Goldman Sachs Rising Dividend Growth Fund’s predecessor was the Rising Dividend Growth Fund (the “Predecessor Fund”). On February 27, 2012, the Predecessor Fund was reorganized as a new series of the Goldman Sachs Trust. Performance prior to February 27, 2012 is that of the Predecessor Fund. Total return information of the Predecessor Fund is provided in the above table because the Predecessor Fund is considered the accounting survivor of the reorganization. |
| (c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (d) | Amount is less than $0.005 per share. |
| (e) | Annualized. |
| (f) | Expense ratios include the effect of the operating expenses of the Predecessor Fund prior to reorganization. |
| 42 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS RISING DIVIDEND GROWTH FUND
| Net asset value, end of year | Total return(b) | Net assets, end of year (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income (loss) to average net assets | Portfolio turnover rate(c) | ||||||||||||||||||||||||||||||||||
| $ | 19.66 | (3.71 | )% | $ | 697,430 | 1.14 | % | 1.16 | % | 0.35 | % | 16 | % | |||||||||||||||||||||||||||
| 19.79 | (4.43 | ) | 571,438 | 1.89 | 1.91 | (0.40 | ) | 16 | ||||||||||||||||||||||||||||||||
| 20.08 | (3.35 | ) | 958,317 | 0.74 | 0.76 | 0.74 | 16 | |||||||||||||||||||||||||||||||||
| 20.07 | (3.45 | ) | 272,442 | 0.89 | 0.91 | 0.59 | 16 | |||||||||||||||||||||||||||||||||
| 19.63 | (3.96 | ) | 4,749 | 1.39 | 1.41 | 0.10 | 16 | |||||||||||||||||||||||||||||||||
| 20.68 | (1.72 | ) | 1,054,093 | 1.13 | 1.15 | 0.28 | 25 | |||||||||||||||||||||||||||||||||
| 20.84 | (2.44 | ) | 732,998 | 1.88 | 1.90 | (0.47 | ) | 25 | ||||||||||||||||||||||||||||||||
| 21.12 | (1.29 | ) | 1,476,799 | 0.73 | 0.74 | 0.67 | 25 | |||||||||||||||||||||||||||||||||
| 21.10 | (1.49 | ) | 437,422 | 0.88 | 0.89 | 0.53 | 25 | |||||||||||||||||||||||||||||||||
| 20.66 | (2.00 | ) | 3,740 | 1.38 | 1.39 | 0.05 | 25 | |||||||||||||||||||||||||||||||||
| 21.25 | 15.81 | 1,063,292 | 1.15 | 1.16 | 0.13 | 12 | ||||||||||||||||||||||||||||||||||
| 21.41 | 14.93 | 632,859 | 1.90 | 1.91 | (0.63 | ) | 12 | |||||||||||||||||||||||||||||||||
| 21.69 | 16.26 | 1,509,224 | 0.75 | 0.76 | 0.52 | 12 | ||||||||||||||||||||||||||||||||||
| 21.68 | 16.10 | 428,787 | 0.90 | 0.91 | 0.37 | 12 | ||||||||||||||||||||||||||||||||||
| 21.20 | 15.53 | 7,268 | 1.40 | 1.41 | (0.14 | ) | 12 | |||||||||||||||||||||||||||||||||
| 18.50 | 23.27 | 858,185 | 1.18 | 1.21 | (0.18 | ) | 13 | |||||||||||||||||||||||||||||||||
| 18.65 | 22.35 | 384,551 | 1.93 | 1.96 | (0.98 | ) | 13 | |||||||||||||||||||||||||||||||||
| 18.88 | 23.77 | 918,912 | 0.78 | 0.81 | 0.21 | 13 | ||||||||||||||||||||||||||||||||||
| 18.87 | 23.55 | 258,492 | 0.93 | 0.96 | 0.03 | 13 | ||||||||||||||||||||||||||||||||||
| 18.46 | 22.98 | 4,141 | 1.42 | 1.45 | (0.63 | ) | 13 | |||||||||||||||||||||||||||||||||
| 15.16 | (1.24 | ) | 252,945 | 1.20 | (e) | 1.32 | (e) | (0.69 | )(e) | 2 | ||||||||||||||||||||||||||||||
| 15.30 | (1.29 | ) | 61,464 | 1.94 | (e) | 2.06 | (e) | (1.39 | )(e) | 2 | ||||||||||||||||||||||||||||||
| 15.46 | (1.21 | ) | 220,145 | 1.80 | (e) | 0.93 | (e) | (0.31 | )(e) | 2 | ||||||||||||||||||||||||||||||
| 15.46 | (1.21 | ) | 45,472 | 0.95 | (e) | 1.07 | (e) | (0.40 | )(e) | 2 | ||||||||||||||||||||||||||||||
| 15.15 | (1.24 | ) | 127 | 1.45 | (e) | 1.57 | (e) | (0.99 | )(e) | 2 | ||||||||||||||||||||||||||||||
| 15.35 | 21.15 | 230,319 | 1.31 | (f) | 1.49 | (f) | 0.35 | (f) | 18 | |||||||||||||||||||||||||||||||
| 15.50 | 20.38 | 51,158 | 2.04 | (f) | 2.16 | (f) | (0.45 | )(f) | 18 | |||||||||||||||||||||||||||||||
| 15.65 | 21.64 | 195,794 | 0.93 | (f) | 1.10 | (f) | 0.74 | (f) | 18 | |||||||||||||||||||||||||||||||
| 15.65 | 3.70 | 36,122 | 0.95 | (e) | 1.14 | (e) | 0.50 | (e) | 18 | |||||||||||||||||||||||||||||||
| 15.34 | 3.36 | 127 | 1.42 | (e) | 1.60 | (e) | (0.17 | )(e) | 18 | |||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 43 |
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements
October 31, 2016
| 1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
| Fund | Share Classes Offered | Diversified/ Non-diversified | ||||||
Income Builder | A, C, Institutional, IR and R6 | Diversified | ||||||
Rising Dividend Growth | A, C, Institutional, IR and R | Non-Diversified |
Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with contingent deferred sales charge (“CDSC”) of 1.00% which is imposed on redemptions made within 12 months of purchase. Institutional, Class IR, Class R and Class R6 Shares are not subject to a sales charge.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust. Dividend Assets Capital, LLC (“DAC” or the “Sub Adviser”) serves as the sub-adviser to the Rising Dividend Growth Fund. GSAM compensates the Sub- Adviser directly in accordance with the terms of the Sub-Advisory Agreement. The Fund is not charged any separate or additional investment advisory fees by the Sub-Adviser.
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.
A. Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income, net of any foreign withholding taxes, less any amounts reclaimable, and securities lending income. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT. Distributions from master limited partnerships (“MLPs”) are generally recorded based on the characterization reported on the MLP’s tax return. The Funds record their pro-rata share of the income/loss and capital gains/losses, allocated from the underlying partnerships and adjusts the cost basis of the underlying partnerships accordingly. For derivative contracts, realized gains and losses are recorded upon settlement of the contract. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees.
44
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:
| Fund | Income Distributions Declared/Paid | Capital Gains Distributions Declared/Paid | ||||
Income Builder | Monthly | Annually | ||||
Rising Dividend Growth | Quarterly | Annually |
Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. Foreign Currency Translation — The accounting records and reporting currency of the Funds are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statements of Operations within net change in unrealized gain (loss) on foreign currency translations. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
F. Commission Recapture — GSAM, on behalf of certain Funds, may direct portfolio trades, subject to seeking best execution, to various brokers who have agreed to rebate a portion of the commissions generated. Such rebates are made directly to a Fund as cash payments and are included in net realized gain (loss) from investments on the Statements of Operations.
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
45
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Funds’ policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ portfolio investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments �� The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities are valued at the last bid price for long positions and at the last ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
Underlying Funds (including Money Market Funds) — Underlying Funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share of the Institutional Share class (the FST Share Class for Money Market Funds) on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Income Builder Fund invests in Underlying Funds that fluctuate in value, the Fund’s shares will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Debt Securities — Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. Short-term debt obligations that mature in sixty days or less and did not exhibit signs of credit deterioration are valued using available market quotations as provided by a third party pricing vendor or broker. Prior to October 11, 2016 such securities were valued at amortized cost. With the exception of treasury securities of G8 countries (not held in money market funds), which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
i. Bank Loans — Bank loans (“Loans”) are interests in amounts owed by corporate, governmental, or other borrowers to lenders or lending syndicates. Loans are arranged through private negotiations between the borrower and one or more financial institutions (“Lenders”). A Fund’s investments in Loans are in the form of either participations in Loans (“Participations”) or assignments of all or a portion of Loans from third parties (“Assignments”). With respect to
46
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Participations, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participations and only upon receipt by the Lender of the payments from the borrower. A Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement with respect to Participations. Conversely, Assignments result in a Fund having a direct contractual relationship with the borrower, and the Fund may be permitted to enforce compliance by the borrower with the terms of the loan agreement.
ii. Mortgage-Backed and Asset-Backed Securities — Mortgage-backed securities represent direct or indirect participations in, or are collateralized by and payable from, mortgage loans secured by residential and/or commercial real estate property. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of other assets or receivables. The value of certain mortgage-backed and asset-backed securities (including adjustable rate mortgage loans) may be particularly sensitive to changes in prevailing interest rates. The value of these securities may also fluctuate in response to the market’s perception of the creditworthiness of the issuers.
Asset-backed securities may present credit risks that are not presented by mortgage-backed securities because they generally do not have the benefit of a security interest in collateral that is comparable to mortgage assets. Some asset-backed securities may only have a subordinated claim on collateral.
Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all interest payments (interest-only, or “IO” and/or high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all principal payments (principal-only, or “PO”) from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO; as a result, periodic adjustments are recorded to reduce the cost of the security until maturity. These adjustments are included in interest income.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Funds enter into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers.
Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or settlement price and typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
A forward foreign currency contract is a forward contract in which a Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked-to-market daily at the applicable forward rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures
47
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. Option Contracts — When a Fund writes call or put option contracts, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts.
Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
Short Term Investments — Short-term investments having a maturity of 60 days or less are valued using available market quotations as provided by a third party pricing vendor or broker. Prior to October 11, 2016, such securities were valued at amortized cost. These investments are classified as Level 2 of the fair value hierarchy.
i. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement (“MRA”). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes. The underlying securities for all repurchase agreements are held at the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements.
An MRA governs transactions between a Fund and select counterparties. An MRA contains provisions for, among other things, initiation of the transaction, income payments, events of default and maintenance of securities for repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty.
If the seller defaults, a Fund could suffer a loss to the extent that the proceeds from the sale of the underlying securities and other collateral held by the Fund are less than the repurchase price and the Fund’s costs associated with delay and enforcement of the repurchase agreement. In addition, in the event of default or insolvency of the seller, a court could determine that a Fund’s interest in the collateral is not enforceable, resulting in additional losses to the Fund.
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and terms and conditions contained therein, the Funds, together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates, may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements. Under these joint accounts, the Funds maintain pro-rata credit exposure to the underlying repurchase agreements’ counterparties. With the exception of certain transaction fees, the Funds are not subject to any expenses in relation to these investments.
ii. Commercial Paper — Commercial paper normally represents short-term unsecured promissory notes issued in bearer form by banks or bank holding companies, corporations, finance companies and other issuers. Commercial paper consists of direct U.S. dollar-denominated obligations of domestic or foreign issuers. Asset-backed commercial paper is issued by a special purpose entity that is organized to issue the commercial paper and to purchase trade receivables or other financial assets.
48
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Secured Borrowings — Secured borrowings are valued at their contractual amounts, which approximate fair value, and are generally classified as Level 2 of the fair value hierarchy.
i. Reverse Repurchase Agreements — Reverse repurchase agreements involve the sale of securities held by a Fund subject to the Fund’s agreement to repurchase the securities at a mutually agreed upon date and price (including interest), under the terms of an MRA. The gross value of reverse repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.
A Fund entering into a reverse repurchase agreement is required to deliver securities as collateral to the counterparty that exceed the value of the reverse repurchase agreement. During the term of a reverse repurchase agreement, the value of the underlying securities pledged as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the reverse repurchase agreement, including accrued interest. If the value of those securities pledged as collateral, including accrued interest, becomes less than the value of the reverse repurchase agreement, including accrued interest, a Fund will be obligated to deliver additional collateral to the buyer. If the buyer defaults on its commitment to sell back the securities, a Fund could suffer a loss to the extent that the amount borrowed is less than the replacement cost of similar securities and the Fund’s costs associated with delay and enforcement of the reverse repurchase agreement. In addition, in the event of default or insolvency of the buyer, a court could determine that a Fund’s interest in the amount borrowed is not enforceable, resulting in additional losses to the Fund.
Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Funds’ investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.
To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments. GSAM did not develop the unobservable inputs (examples include but are not limited to single source broker quotations, third party pricing, etc.) for the valuation of Level 3 Assets and Liabilities.
49
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
B. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of October 31, 2016:
| INCOME BUILDER | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stocks(a) | ||||||||||||
Asia | $ | 7,737,524 | $ | — | $ | — | ||||||
Europe | 88,215,757 | — | — | |||||||||
North America | 656,926,136 | — | 3,185,801 | |||||||||
Preferred Stocks(a) | ||||||||||||
North America | — | 62,492,808 | — | |||||||||
Fixed Income | ||||||||||||
Corporate Obligations | — | 1,001,387,650 | — | |||||||||
Mortgage-Backed Obligations | — | 798,482 | — | |||||||||
Asset-Backed Securities | — | 54,005 | — | |||||||||
Bank Loans | — | 198,175,177 | 6,621,900 | |||||||||
U.S. Treasury Obligations | 64,641,699 | — | — | |||||||||
Investment Companies | 3,072,831 | — | — | |||||||||
Short-term Investments | — | 13,127,226 | — | |||||||||
| Total | $ | 820,593,947 | $ | 1,276,035,348 | $ | 9,807,701 | ||||||
| Derivative Type | ||||||||||||
| Assets(b) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 2,125,310 | $ | — | ||||||
Futures Contracts | 3,749,927 | — | — | |||||||||
| Total | $ | 3,749,927 | $ | 2,125,310 | $ | — | ||||||
| Liabilities | ||||||||||||
Futures Contracts(b) | $ | (107,194 | ) | $ | — | $ | — | |||||
Written Options Contracts | — | (217,475 | ) | — | ||||||||
| Total | $ | (107,194 | ) | $ | (217,475 | ) | $ | — | ||||
| RISING DIVIDEND GROWTH | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stocks(a) | ||||||||||||
Europe | $ | 247,634,600 | $ | — | $ | — | ||||||
North America | 2,203,854,750 | — | — | |||||||||
Short-term Investments | — | 43,100,000 | — | |||||||||
| Total | $ | 2,451,489,350 | $ | 43,100,000 | $ | — | ||||||
| (a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile noted in table. The Funds utilize fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification. |
| (b) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedules of Investments.
50
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
| 4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts as of October 31, 2016. These instruments were used as part of the Funds’ investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.
| Income Builder | ||||||||||||
| Risk | Statements of Assets and Liabilities | Assets | Statements of Assets and Liabilities | Liabilities | ||||||||
Interest rate | Variation margin on certain derivative contracts | $ | 3,749,927 | (a) | Variation margin on certain derivative contracts | $ | (107,194 | )(a) | ||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 2,125,310 | — | — | ||||||||
Equity | — | — | Options Written, at value | (217,475 | ) | |||||||
| Total | $ | 5,875,237 | $ | (324,669 | ) | |||||||
| (a) | Includes unrealized gain (loss) on futures described in the Additional Investment Information sections of the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended October 31, 2016. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:
| Income Builder | ||||||||||||||
| Risk | Statements of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Interest rate | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | $ | (11,345,465 | ) | $ | 4,618,273 | 1,969 | |||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | 3,060,102 | 2,355,508 | 4 | ||||||||||
Equity | Net realized gain (loss) from written options contracts/Net change in unrealized gain (loss) on written options contracts | 1,209,757 | 220,752 | 1 | ||||||||||
| Total | $ | (7,075,606 | ) | $ | 7,194,533 | 1,974 | ||||||||
| (a) | Average number of contracts is based on the average of month end balances for the fiscal year ended October 31, 2016. |
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivatives counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives (including forward foreign currency exchange contracts, and certain options and swaps), and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
51
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 4. INVESTMENTS IN DERIVATIVES (continued) |
Collateral and margin requirements differ between exchange traded derivatives and OTC derivatives. Margin requirements are established by the broker or clearing house for exchange-traded and centrally cleared derivatives (financial futures contracts, options and centrally cleared swaps) pursuant to governing agreements for those instrument types. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract-specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Additionally, a Fund may be required to post initial margin to the counterparty, the terms of which would be outlined in the confirmation of the OTC transaction.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivative contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. A Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that the Investment Adviser believes to be of good standing and by monitoring the financial stability of those counterparties.
Additionally, the netting of assets and liabilities and the offsetting of collateral pledged or received are based on contractual netting/set-off provisions in the ISDA Master Agreement or similar agreements. However, in the event of a default or insolvency of a counterparty, a court could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of setoff that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws.
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
For the fiscal year ended October 31, 2016, contractual and effective net management fees with GSAM were at the following rates:
| Contractual Management Rate | Effective Net Management Rate^ | |||||||||||||||||||||||||||||
| Fund | First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | ||||||||||||||||||||||||
Income Builder | 0.65 | % | 0.59 | % | 0.56 | % | 0.55 | % | 0.54 | % | 0.62 | % | 0.51 | %* | ||||||||||||||||
Rising Dividend Growth | 0.75 | 0.68 | 0.64 | 0.63 | 0.62 | 0.69 | 0.69 | |||||||||||||||||||||||
| * | GSAM has agreed to waive a portion of its management fee in order to achieve net management rates, as defined in the Funds’ most recent prospectuses. These waivers will be effective through at least February 26, 2017, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. The Effective Net Management Rates above are calculated based on management rates before and after waivers had been adjusted, if applicable. |
| ^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. |
The Income Builder Fund invests in the Institutional Shares of the Goldman Sachs Financial Square Government Fund and the Institutional Shares of the Goldman Sachs High Yield Fund, which are affiliated Underlying Funds. GSAM has agreed to waive a portion of its management fee payable by the Fund in an amount equal to the management fee it earns as an investment adviser to any of the affiliated Underlying Funds in which the Fund invests. For the fiscal year ended October 31, 2016, GSAM waived $71,474 of the Fund’s management fee.
52
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
B. Distribution and Service Plans — The Trust, on behalf of each Fund, has adopted Distribution and Service Plans (the “Plans”). Under the Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, at the following annual rates calculated on a Fund’s average daily net assets of each respective share class:
| Distribution and Service Plan Rates | ||||||||||||
| Class A* | Class C | Class R* | ||||||||||
Distribution Plan | 0.25 | % | 0.75 | % | 0.50 | % | ||||||
Service Plan | — | 0.25 | — | |||||||||
| * | With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution Plan to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority. |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the fiscal year ended October 31, 2016, Goldman Sachs advised that it retained the following amounts:
| Front End Sales Charge | Contingent Deferred Sales Charge | |||||||||
| Fund | Class A | Class C | ||||||||
Income Builder | $ | 212,387 | $ | 46 | ||||||
Rising Dividend Growth | 124,230 | — | ||||||||
D. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.19% of the average daily net assets of Class A, Class C, Class IR and Class R Shares; 0.04% of the average daily net assets of Institutional Shares; and 0.02% of the average daily net assets of Class R6 Shares.
E. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, shareholder meeting, litigation, indemnification and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the Income Builder and Rising Dividend Growth are 0.034% and 0.014%, respectively. These Other Expense limitations will remain in place through at least February 26, 2017, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the fiscal year ended October 31, 2016, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| Fund | Management Fee Waiver | Other Expense | Total Expense Reductions | |||||||||||
Income Builder | $ | 2,354,561 | $ | 220,917 | $ | 2,575,478 | ||||||||
Rising Dividend Growth | — | 606,264 | 606,264 | |||||||||||
53
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
E. Line of Credit Facility — As of October 31, 2016, the Funds participated in a $1,100,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates (“Other Borrowers”). This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the fiscal year ended October 31, 2016, the Funds did not have any borrowings under the facility.
F. Other Transactions with Affiliates — For the fiscal year ended October 31, 2016, Goldman Sachs earned $96,049 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the futures commission merchant, on behalf of the Income Builder Fund.
As of October 31, 2016, the Goldman Sachs Group, Inc. was the beneficial owner of 100% of the Class R6 outstanding shares of the Income Builder Fund.
The table below shows the transactions in and earnings from investments in the Underlying Fund for the Income Builder Fund for the fiscal year ended October 31, 2016:
| Underlying Fund | Market Value | Purchases at Cost | Proceeds from Sales | Net Change in Unrealized Gain (Loss) | Market Value 10/31/2016 | Dividend Income | ||||||||||||||||||
Goldman Sachs Financial Square Government Fund | $ | 64,950,238 | $ | 624,152,772 | $ | (689,102,373 | ) | $ | — | $ | 637 | $ | 123,055 | |||||||||||
Goldman Sachs High Yield Fund | 2,878,792 | 168,429 | — | 24,973 | 3,072,194 | 111,392 | ||||||||||||||||||
Total | $ | 67,829,030 | $ | 624,321,201 | $ | (689,102,373 | ) | $ | 24,973 | $ | 3,072,831 | $ | 234,447 | |||||||||||
The following table provides information about the investment in the shares of issuers deemed to be affiliates of the Income Builder Fund for the fiscal year ended October 31, 2016:
| Fund | Name of Affiliated Issuer | Market Value 10/31/2015 | Purchases at Cost | Net Change in Unrealized Gain (loss) | Market Value 10/31/2016 | |||||||||||||
Income Builder | Magnum Hunter Resources Corp. PI — Common Stock | $ | — | $ | 2,586,550 | $ | 599,251 | $ | 3,185,801 | |||||||||
| Magnum Hunter Resources, Inc. — Bank Loan | — | 382,057 | (11,462 | ) | 370,595 | |||||||||||||
Total | — | $ | 2,968,607 | $ | 587,789 | $ | 3,556,396 | |||||||||||
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended October 31, 2016, were as follows:
| Fund | Purchases of U.S. Government Securities | Purchases (Excluding U.S. Government Securities) | Sales and Maturities of U.S. Government Securities | Sales and Maturities (Excluding U.S. Government Securities) | ||||||||||||||
Income Builder | $ | 85,977,598 | $ | 1,592,622,754 | $ | (21,558,411 | ) | $ | (1,705,198,660 | ) | ||||||||
Rising Dividend Growth | — | 466,179,268 | — | (1,175,895,265 | ) | |||||||||||||
54
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
| 6. PORTFOLIO SECURITIES TRANSACTIONS (continued) |
The table below summarizes the reverse repurchase agreement activity for the period ended October 31, 2016:
| Fund Name | Average amounts of borrowings | Weighted average interest rate | Number of days outstanding during the period | |||||||||||
Income Builder | $ | 5,008,196 | 3.90 | % | 70 | |||||||||
In order to present certain components of the Fund’s capital accounts, certain reclassifications have been recorded to the Funds’ accounts to take into consideration return of capital distributions. These reclassifications have no impact on the net asset value of the Funds.
| Income Builder | Rising Dividend Growth | |||||||||
Distributions in excess of net investment income | $ | (1 | ) | $ | — | |||||
Accumulated net realized gain (loss) | 1,221,900 | 10,670,904 | ||||||||
Net unrealized gain | (1,221,899 | ) | (10,670,904 | ) | ||||||
| 7. TAX INFORMATION |
The tax character of distributions paid during the fiscal year ended October 31, 2016 was as follows:
| Income Builder | Rising Dividend Growth | |||||||
Distribution paid from: | ||||||||
Ordinary income | $ | 79,587,814 | $ | 16,382,154 | ||||
Net long-term capital gains | — | 22,191,751 | ||||||
Total taxable distributions | $ | 79,587,814 | $ | 38,573,905 | ||||
The tax character of distributions paid during the fiscal year ended October 31, 2015 was as follows:
| Income Builder | Rising Dividend Growth | |||||||
Distribution paid from: | ||||||||
Ordinary income | $ | 76,785,932 | $ | 19,335,657 | ||||
Tax return of capital | $ | 8,631,925 | $ | 21,030,294 | ||||
55
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 7. TAX INFORMATION (continued) |
As of October 31, 2016, the components of accumulated earnings (losses) on a tax basis were as follows:
| Income Builder | Rising Dividend Growth | |||||||
Undistributed ordinary income — net | $ | 3,314,519 | $ | — | ||||
Undistributed long-term capital gains | — | 30,096,731 | ||||||
Total undistributed earnings | $ | 3,314,519 | $ | 30,096,731 | ||||
Capital loss carryforwards:(1) | ||||||||
Perpetual Short-Term | $ | (33,413,371 | ) | $ | — | |||
Perpetual Long-Term | (97,772,677 | ) | — | |||||
Total capital loss carryforwards | (131,186,048 | ) | — | |||||
Timing differences (Straddle Loss Deferral) | $ | (129,005 | ) | $ | — | |||
Unrealized gains (losses) — net | 51,301,320 | 481,105,546 | ||||||
Total accumulated earnings (losses) net | $ | (76,699,214 | ) | $ | 511,202,277 | |||
| (1) | The Rising Dividend Growth Fund utilized $18,843,161 of capital losses in the current fiscal year. |
As of October 31, 2016, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| Income Builder | Rising Dividend Growth | |||||||
Tax Cost | $ | 2,055,069,747 | $ | 2,013,483,804 | ||||
Gross unrealized gain | 98,890,617 | 592,367,321 | ||||||
Gross unrealized loss | (47,523,368 | ) | (111,261,775 | ) | ||||
Net unrealized gains | 51,367,249 | 481,105,546 | ||||||
Net unrealized loss on other investments | (65,929 | ) | — | |||||
Net unrealized gains | $ | 51,301,320 | 481,105,546 | |||||
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales, market gains/(losses) on regulated futures, and options contracts, net mark to market gains/(losses) on foreign currency contracts and differences in the tax treatment of underlying fund investments, partnership investments, and material modification of debt securities.
In order to present certain components of the Funds’ capital accounts on a tax-basis, certain reclassifications have been recorded to the Funds’ accounts. These reclassifications have no impact on the net asset value of the Funds and result primarily from differences in the tax treatment of underlying fund investments, foreign currency transactions, partnership investments, and material modification of debt securities.
| Fund | Paid-in- Capital | Accumulated Net Realized Gain (Loss) | Undistributed Net Investment Income (Loss) | |||||||||||
Income Builder | $ | 966,405 | $ | (5,269,473 | ) | $ | 4,303,068 | |||||||
Rising Dividend Growth | 412,224 | (2,827,189 | ) | 2,414,965 | ||||||||||
56
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
| 8. OTHER RISKS |
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
The Funds’ risks include, but are not limited to, the following:
Derivatives Risk — Loss may result from the Funds’ investments in derivative instruments. These instruments may be illiquid, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Funds. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. Losses from investments in derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the United States. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Funds invest. Loss may also result from the imposition of exchange controls, confiscations and other government restrictions by the United States or other governments, or from problems in registration, settlement or custody. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Funds have exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Funds also invest in securities of issuers located in emerging markets, these risks may be more pronounced.
Foreign Custody Risk — A Fund that invests in foreign securities may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy.
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Fund will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with increasing rates are heightened given that interest rates are near historic lows, but may be expected to increase in the future with unpredictable effects on the markets and the Funds’ investments.
Investments in Other Investment Companies — As a shareholder of another investment company, including an exchange-traded fund (“ETF”), a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that a Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.
57
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 8. OTHER RISKS (continued) |
Liquidity Risk — The Funds may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity.
Loan-Related Investments Risk — In addition to risks generally associated with debt investments, loan-related investments such as loan participations and assignments are subject to other risks. Although a loan obligation may be fully collateralized at the time of acquisition, the collateral may decline in value, be relatively illiquid, or lose all or substantially all of its value subsequent to investment. Many loan investments are subject to legal or contractual restrictions on resale and may be relatively illiquid and difficult to value. There is less readily available, reliable information about most loan investments than is the case for many other types of securities. Substantial increases in interest rates may cause an increase in loan obligation defaults. With respect to loan participations, the Fund may not always have direct recourse against a borrower if the borrower fails to pay scheduled principal and/or interest; may be subject to greater delays, expenses and risks than if the Fund had purchased a direct obligation of the borrower; and may be regarded as the creditor of the agent lender (rather than the borrower), subjecting the Fund to the creditworthiness of that lender as well. Investors in loans, such as the Fund, may not be entitled to rely on the anti-fraud protections of the federal securities laws, although they may be entitled to certain contractual remedies. The market for loan obligations may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement periods. Because transactions in many loans are subject to extended trade settlement periods, the Fund may not receive the proceeds from the sale of a loan for a period after the sale. As a result, sale proceeds related to the sale of loans may not be available to make additional investments or to meet the Fund’s redemption obligations for a period after the sale of the loans, and, as a result, the Fund may have to sell other investments or engage in borrowing transactions, such as borrowing from its credit facility, if necessary to raise cash to meet its obligations.
Senior Loans hold the most senior position in the capital structure of a business entity, and are typically secured with specific collateral, but are nevertheless usually rated below investment grade. Because Second Lien Loans are subordinated or unsecured and thus lower in priority of payment to Senior Loans, they are subject to the additional risk that the cash flow of the borrower and property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to the senior secured obligations of the borrower. Second Lien Loans generally have greater price volatility than Senior Loans and may be less liquid.
Market and Credit Risks — In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Funds may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Funds have unsettled or open transactions defaults.
Master Limited Partnership Risk — Investments in securities of MLPs involve risks that differ from investments in common stock, including risks related to limited control and limited rights to vote on matters affecting the MLP, risks related to potential conflicts of interest between the MLP and the MLP’s general partner, cash flow risks, dilution risks, limited liquidity and risks related to the general partner’s right to require unit-holders to sell their common units at an undesirable time or price.
Non-Diversification Risk — Goldman Sachs Rising Dividend Growth Fund is non-diversified, meaning that it is permitted to invest a larger percentage of its assets in fewer issuers than diversified mutual funds. Thus, the Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio, and may be more susceptible to greater losses because of these developments.
58
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
| 8. OTHER RISKS (continued) |
Portfolio Concentration Risk — As a result of the Funds’ ability to invest a large percentage of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Funds’ investments more than if their investments were not so concentrated.
Short Position Risk — A Fund may enter into a short position through a futures contract, an option or swap agreement or through short sales of any instrument that the Fund may purchase for investment. Taking short positions involves leverage of a Fund’s assets and presents various risks. If the value of the underlying instrument or market in which a Fund has taken a short position increases, then the Fund will incur a loss equal to the increase in value from the time that the short position was entered into plus any related interest payments or other fees. Taking short positions involves the risk that losses may be disproportionate, may exceed the amount invested, and may be unlimited.
| 9. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
| 10. SUBSEQUENT EVENTS |
Subsequent events after the Statements of Assets and Liabilities date have been evaluated and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
59
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| Income Builder Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 6,417,009 | $ | 135,325,881 | 12,779,697 | $ | 286,853,445 | ||||||||||
Reinvestment of distributions | 1,074,715 | 22,631,211 | 1,196,026 | 26,711,679 | ||||||||||||
Shares converted from Class B(a) | — | — | 19,114 | 437,131 | ||||||||||||
Shares redeemed | (13,425,507 | ) | (282,878,547 | ) | (10,401,047 | ) | (232,997,529 | ) | ||||||||
| (5,933,783 | ) | (124,921,455 | ) | 3,593,790 | 81,004,726 | |||||||||||
| Class B Shares(a) | ||||||||||||||||
Shares converted to Class A | — | — | (19,265 | ) | (437,131 | ) | ||||||||||
Shares redeemed | — | — | (137,506 | ) | (3,119,537 | ) | ||||||||||
| — | — | (156,771 | ) | (3,556,668 | ) | |||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 7,306,512 | 151,771,191 | 14,329,849 | 316,761,315 | ||||||||||||
Reinvestment of distributions | 892,247 | 18,511,915 | 821,596 | 18,057,009 | ||||||||||||
Shares redeemed | (8,925,794 | ) | (185,458,715 | ) | (5,901,233 | ) | (130,023,598 | ) | ||||||||
| (727,035 | ) | (15,175,609 | ) | 9,250,212 | 204,794,726 | |||||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 13,872,849 | 298,461,739 | 17,357,197 | 396,735,861 | ||||||||||||
Reinvestment of distributions | 1,143,274 | 24,592,125 | 1,119,976 | 25,472,088 | ||||||||||||
Shares redeemed | (15,961,525 | ) | (341,074,922 | ) | (11,673,589 | ) | (266,746,352 | ) | ||||||||
| (945,402 | ) | (18,021,058 | ) | 6,803,584 | 155,461,597 | |||||||||||
| Class IR Shares | ||||||||||||||||
Shares sold | 3,669,557 | 79,284,470 | 3,455,961 | 78,781,282 | ||||||||||||
Reinvestment of distributions | 228,964 | 4,915,866 | 215,202 | 4,877,127 | ||||||||||||
Shares redeemed | (3,298,048 | ) | (70,475,059 | ) | (1,849,114 | ) | (41,949,130 | ) | ||||||||
| 600,473 | 13,725,277 | 1,822,049 | 41,709,279 | |||||||||||||
| Class R6 Shares(b) | ||||||||||||||||
Shares sold | — | — | 439 | 10,005 | ||||||||||||
Reinvestment of distributions | 19 | 399 | 5 | 111 | ||||||||||||
Shares redeemed | — | — | (1 | ) | (5 | ) | ||||||||||
| 19 | 399 | 443 | 10,111 | |||||||||||||
NET INCREASE (DECREASE) | (7,005,728 | ) | $ | (144,392,446 | ) | 21,313,307 | $ | 479,423,771 | ||||||||
| (a) | Class B Shares were converted into Class A Shares at the close of business on November 14, 2014. |
| (b) | Commenced operations on July 31, 2015. |
60
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| Rising Dividend Growth Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 3,916,114 | $ | 78,170,830 | 14,646,468 | $ | 313,769,741 | ||||||||||
Reinvestment of distributions | 505,011 | 10,184,845 | 495,768 | 10,353,908 | ||||||||||||
Shares redeemed | (19,916,300 | ) | (397,545,857 | ) | (14,204,704 | ) | (300,876,001 | ) | ||||||||
| (15,495,175 | ) | (309,190,182 | ) | 937,532 | 23,247,648 | |||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 2,907,964 | 58,472,731 | 10,746,927 | 231,900,878 | ||||||||||||
Reinvestment of distributions | 168,273 | 3,421,719 | 66,814 | 1,412,211 | ||||||||||||
Shares redeemed | (9,375,119 | ) | (189,077,628 | ) | (5,193,304 | ) | (110,896,308 | ) | ||||||||
| (6,298,882 | ) | (127,183,178 | ) | 5,620,437 | 122,416,781 | |||||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 8,384,281 | 170,099,746 | 25,578,313 | 558,466,208 | ||||||||||||
Reinvestment of distributions | 717,189 | 14,752,547 | 794,147 | 16,933,049 | ||||||||||||
Shares redeemed | (31,315,476 | ) | (637,420,174 | ) | (26,001,134 | ) | (558,260,002 | ) | ||||||||
| (22,214,006 | ) | (452,567,881 | ) | 371,326 | 17,139,255 | |||||||||||
| Class IR Shares | ||||||||||||||||
Shares sold | 3,951,924 | 81,451,310 | 8,230,890 | 179,690,099 | ||||||||||||
Reinvestment of distributions | 242,327 | 4,981,603 | 268,260 | 5,718,881 | ||||||||||||
Shares redeemed | (11,346,731 | ) | (231,563,736 | ) | (7,548,178 | ) | (162,697,754 | ) | ||||||||
| (7,152,480 | ) | (145,130,823 | ) | 950,972 | 22,711,226 | |||||||||||
| Class R Shares | ||||||||||||||||
Shares sold | 161,958 | 3,269,109 | 167,414 | 3,587,077 | ||||||||||||
Reinvestment of distributions | 1,326 | 26,780 | 398 | 8,233 | ||||||||||||
Shares redeemed | (102,380 | ) | (2,070,054 | ) | (329,627 | ) | (7,190,893 | ) | ||||||||
| 60,904 | 1,225,835 | (161,815 | ) | (3,595,583 | ) | |||||||||||
NET INCREASE (DECREASE) | (51,099,639 | ) | $ | (1,032,846,229 | ) | 7,718,452 | $ | 181,919,327 | ||||||||
61
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Goldman Sachs Trust and Shareholders of the Goldman Sachs Dividend Focus Funds:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Goldman Sachs Income Builder Fund and Goldman Sachs Rising Dividend Growth Fund (collectively the “Funds”), funds of the Goldman Sachs Trust, at October 31, 2016, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2016 by correspondence with the custodian, brokers, transfer agent of the underlying funds and the application of alternative auditing procedures where securities purchased confirmations had not been received, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
December 23, 2016
62
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Fund Expenses — Six Month Period Ended October 31, 2016 (Unaudited) |
As a shareholder of Class A, Class C, Institutional, Service, Class IR, Class R and Class R6 Shares of a Fund, you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares), contingent deferred sales charges on redemptions (with respect to Class C Shares), and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees (with respect to Class A, Class C and Class R Shares); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class C, Institutional, Service, Class IR, Class R or Class R6 Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from May 1, 2016 through October 31, 2016, which represents a period of 184 days in a 366-day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Income Builder Fund | Rising Dividend Growth Fund | |||||||||||||||||||||||
| Share Class | Beginning Account Value 5/1/16 | Ending Account Value 10/31/16 | Expenses Paid for the 6 months ended 10/31/16* | Beginning Account Value 5/1/16 | Ending Account Value 10/31/16 | Expenses Paid for the 6 months ended 10/31/16* | ||||||||||||||||||
| Class A | ||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,038.90 | $ | 5.02 | $ | 1,000.00 | $ | 973.50 | $ | 5.70 | ||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.21 | + | 4.98 | 1,000.00 | 1,019.36 | + | 5.84 | ||||||||||||||||
| Class C | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,034.70 | 8.85 | 1,000.00 | 969.90 | 9.41 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,016.44 | + | 8.77 | 1,000.00 | 1,015.59 | + | 9.63 | ||||||||||||||||
| Institutional | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,041.10 | 2.98 | 1,000.00 | 975.10 | 3.72 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.22 | + | 2.95 | 1,000.00 | 1,021.37 | + | 3.81 | ||||||||||||||||
| Class IR | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,040.00 | 3.74 | 1,000.00 | 974.80 | 4.47 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,021.47 | + | 3.71 | 1,000.00 | 1,020.61 | + | 4.57 | ||||||||||||||||
| Class R | ||||||||||||||||||||||||
Actual | N/A | N/A | — | 1,000.00 | 971.90 | 6.94 | ||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | 1,000.00 | 1,018.10 | + | 7.10 | |||||||||||||||||
| Class R6 | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,040.70 | 2.98 | N/A | N/A | — | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.22 | + | 2.95 | N/A | N/A | N/A | |||||||||||||||||
| * | Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended October 31, 2016. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
| Fund | Class A | Class C | Institutional | Class IR | Class R | Class R6 | ||||||||||||||||||
Income Builder | 0.98 | % | 1.73 | % | 0.58 | % | 0.73 | % | N/A | 0.58 | % | |||||||||||||
Rising Dividend Growth | 1.14 | 1.89 | 0.74 | 0.89 | 1.39 | % | N/A | |||||||||||||||||
| + | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
63
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreement (Unaudited)
Background
The Goldman Sachs Income Builder Fund and Goldman Sachs Rising Dividend Growth Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds and the sub-advisory agreement (the “Sub-Advisory Agreement,” and together with the Management Agreement, the “Agreements”) between the Investment Adviser and Dividend Assets Capital, LLC (the “Sub-Adviser”) on behalf of the Rising Dividend Growth Fund.
The Agreements were most recently approved for continuation until June 30, 2017 by the Board of Trustees, including those Trustees who are not parties to the Agreements or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 15-16, 2016 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Agreements were last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to each Fund, such matters included:
| (a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
| (i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
| (ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
| (iii) | trends in employee headcount; |
| (iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
| (v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
| (b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), a benchmark performance index, and a composite of accounts with comparable investment strategies managed by the Investment Adviser (in the case of the Income Builder Fund); and general investment outlooks in the markets in which the Fund invests; |
| (c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
64
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreement (Unaudited) (continued)
| (d) | the terms of the Agreements and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
| (e) | fee and expense information for the Fund, including: |
| (i) | the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
| (ii) | the Fund’s expense trends over time; and |
| (iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
| (f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
| (g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
| (h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates; |
| (i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
| (j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, portfolio trading, distribution and other services; |
| (k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
| (l) | information regarding commissions paid by the Fund and broker oversight, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
| (m) | portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
| (n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers (including the Rising Dividend Growth Fund’s Sub-Adviser), and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
| (o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity, and payment of distribution and service fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
65
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreement (Unaudited) (continued)
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates (including, with respect to the Rising Dividend Growth Fund, the Investment Adviser’s oversight of the Sub-Adviser). The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the regulatory and control environment in which the Funds and their service providers operate, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Funds. In this regard, they compared the investment performance of each Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2015, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2016. The information on each Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates. The Trustees also reviewed each Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies and market conditions. The Trustees also received information comparing the Income Builder Fund’s performance to that of a composite of accounts with comparable investment strategies managed by the Investment Adviser.
66
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreement (Unaudited) (continued)
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.
The Trustees observed that the Income Builder Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the three-, five-, and ten-year periods and fourth quartile for the one-year period, and had underperformed the Fund’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2016. The Trustees recalled that the Income Builder Fund had been repositioned from the Goldman Sachs Balanced Fund in 2012, and that the Investment Adviser had introduced call options writing and total return swaps into the Income Builder Fund’s strategy in April 2016. The Trustees observed that the Rising Dividend Growth Fund’s Institutional Shares had placed in the fourth quartile of the Fund’s peer group and underperformed the Fund’s benchmark index for the one-, three-, and five-year periods ended March 31, 2016. The Trustees also noted that the Rising Dividend Growth Fund’s peer group (Large Growth) and benchmark (the S&P 500 Index) were broad-based, whereas the Fund focused on dividend-paying stocks. They recalled that the Rising Dividend Growth Fund’s predecessor, which was advised by the Fund’s current sub-adviser, had commenced operations in March 2004 and had been reorganized into the Fund as a series of the Trust in February 2012. They also noted that the Rising Dividend Growth and Income Builder Funds had experienced certain portfolio management changes in 2015 and the first quarter of 2016.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Agreements and the fee rates payable by each Fund under the Management Agreement and, with respect to the Rising Dividend Growth Fund, payable by the Investment Adviser under the Sub-Advisory Agreement. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of each Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s transfer agency, custody, and distribution fees, other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
67
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreement (Unaudited) (continued)
Profitability
The Trustees reviewed the Investment Adviser’s revenues and pre-tax profit margins with respect to the Trust and each of the Funds. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization had audited the expense allocation methodology and was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology and profitability analysis calculations. Profitability data for the Trust and each Fund were provided for 2015 and 2014, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.
Economies of Scale
The Trustees considered the information that had been provided regarding the Investment Adviser’s profitability. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:
| Income Builder Fund | Rising Dividend Growth Fund | |||||||
| First $1 billion | 0.65 | % | 0.75 | % | ||||
| Next $1 billion | 0.59 | 0.68 | ||||||
| Next $3 billion | 0.56 | 0.64 | ||||||
| Next $3 billion | 0.55 | 0.63 | ||||||
| Over $8 billion | 0.54 | 0.62 | ||||||
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees noted that the breakpoints in the sub-advisory fee schedule for the Rising Dividend Growth Fund were symmetrical to the breakpoints in the Fund’s management fee schedule. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertaking to waive a portion of its management fee (with respect to the Income Builder Fund) and to limit certain expenses of the Funds that exceed specified levels. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels. They also noted that the Investment Adviser had passed along savings to shareholders of the Funds, which had asset levels above at least the first breakpoint during the prior fiscal year.
68
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreement (Unaudited) (continued)
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds as stated above, including: (a) transfer agency fees received by Goldman, Sachs & Co. (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Funds; (c) research received by the Investment Adviser from broker-dealers in exchange for executing certain transactions on behalf of the Funds; (d) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (e) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (f) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (g) Goldman Sachs’ retention of certain fees as Fund Distributor; (h) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; and (i) the possibility that the working relationship between the Investment Adviser and the Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Funds and Their Shareholders
The Trustees also noted that the Funds receive certain potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Income Builder Fund with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors because of the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers because of the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Funds as a result of the size and reputation of the Goldman Sachs organization; (e) the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization; (g) the Funds��� access, through the Investment Adviser, to certain firmwide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (h) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
69
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreement (Unaudited) (continued)
Conclusion
In connection with their consideration of the Agreements, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Agreements should be approved and continued with respect to each Fund until June 30, 2017.
Sub-Advisory Agreement for the Rising Dividend Growth Fund
Nature, Extent, and Quality of the Services Provided Under the Sub-Advisory Agreement and Investment Performance
In evaluating the Sub-Advisory Agreement, the Trustees relied upon materials furnished and presentations made by the Investment Adviser and Sub-Adviser. In evaluating the nature, extent, and quality of services provided by the Sub-Adviser, the Trustees considered information on the services provided to the Rising Dividend Growth Fund by the Sub-Adviser, including information about the Sub-Adviser’s (a) personnel and organizational structure; (b) experience in dividend growth investing and track record in managing the Fund; (c) policies and procedures in place to address potential conflicts of interest; and (d) compliance program and code of ethics. The Trustees noted that the Fund’s predecessor (the “Predecessor Fund”), which was advised by the Sub-Adviser, had commenced operations in March 2004 and had been reorganized into the Fund as a series of the Trust in February 2012. They considered the Predecessor Fund’s operations and investment performance since its inception and the Fund’s operations and investment performance since the reorganization. The Trustees reviewed the services provided to the Fund under the Sub-Advisory Agreement. They observed that the Predecessor Fund’s performance record had only two years of negative returns since its inception. They also observed that the Fund’s Institutional Shares had placed in the fourth quartile of the Fund’s peer group and underperformed the Fund’s benchmark index for the one-, three-, and five-year periods ended March 31, 2016. The Trustees noted that the Fund’s peer group (Large Growth) and benchmark (the S&P 500 Index) were broad-based, whereas the Fund focused on dividend-paying stocks. They recalled that the Fund’s predecessor, which was advised by the Fund’s current sub-adviser, had commenced operations in March 2004 and had been reorganized into the Fund as a series of the Trust in February 2012.
70
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Statement Regarding Basis for Approval of Management Agreement and Sub-Advisory Agreement (Unaudited) (continued)
Costs of Services Provided
The Trustees reviewed the terms of the Sub-Advisory Agreement, including the schedule of fees payable to the Sub-Adviser. They considered the breakpoints in the sub-advisory fee rate payable under the Sub-Advisory Agreement at the following annual percentage rates of the average daily net assets of the Fund:
| Average Daily Net Assets | Sub-Advisory Fee Annual Rate | |||
First $1 billion | 0.200 | % | ||
Next $1 billion | 0.181 | |||
Next $3 billion | 0.171 | |||
Next $3 billion | 0.168 | |||
Over $8 billion | 0.165 | |||
The Trustees noted that the Sub-Adviser’s compensation is paid by the Investment Adviser, not by the Fund, and that the retention of the Sub-Adviser does not increase the fees incurred by the Fund for advisory services. They considered the Investment Adviser’s belief that the relationship between the management fees paid by the Fund and the sub-advisory fees paid by the Investment Adviser is appropriate given the extent of these services. They also observed that the fees received by the Investment Adviser and Sub-Adviser were subject to breakpoints at the same asset levels, and therefore the Sub-Adviser’s fee remains a constant percentage of the Investment Adviser’s fee at all asset levels.
Conclusion
After deliberation and consideration of the information provided, the Trustees concluded that the sub-advisory fee to be paid by the Investment Adviser to the Sub-Adviser with respect to the Rising Dividend Growth Fund is reasonable in light of the services to be provided by the Sub-Adviser and the Fund’s reasonably foreseeable asset levels, and that the Sub-Advisory Agreement should be approved and continued until June 30, 2017.
71
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Trustees and Officers (Unaudited)
Independent Trustees
Name, | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Ashok N. Bakhru Age: 74 | Chairman of the Board of Trustees | Since 1996 (Trustee since 1991) | Mr. Bakhru is retired. He was formerly Director, Apollo Investment Corporation (a business development company) (2008-2013); President, ABN Associates (a management and financial consulting firm) (1994-1996 and 1998-2012); Trustee, Scholarship America (1998-2005); Trustee, Institute for Higher Education Policy (2003-2008); Director, Private Equity Investors — III and IV (1998-2007), and Equity-Linked Investors II (April 2002-2007).
Chairman of the Board of Trustees — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | 142 | None | |||||
Kathryn A. Cassidy Age: 62 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Diana M. Daniels Age: 67 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Herbert J. Markley Age: 66 | Trustee | Since 2013 | Mr. Markley is retired. Formerly, he was Executive Vice President, Deere & Company (an agricultural and construction equipment manufacturer) (2007-2009); and President, Agricultural Division, Deere & Company (2001-2007). Previously, Mr. Markley served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Jessica Palmer Age: 67 | Trustee | Since 2007 | Ms. Palmer is retired. She is Director, Emerson Center for the Arts and Culture (2011-Present); and was formerly a Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
72
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Trustees and Officers (Unaudited) (continued)
Independent Trustees
Name, | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Roy W. Templin Age: 56 | Trustee | Since 2013 | Mr. Templin is retired. He recently served as Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); and was formerly Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Gregory G. Weaver Age: 65 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | Verizon Communications Inc. | |||||
73
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Trustees and Officers (Unaudited) (continued)
Interested Trustees*
Name, | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
James A. McNamara Age: 54 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993- April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | 140 | None | |||||
Alan A. Shuch Age: 66 | Trustee | Since 1990 | Advisory Director — GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994-May 1999).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
| * | These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
| 1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of October 31, 2016. |
| 2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirement shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. One Trustee has been granted a waiver from the foregoing policies which permits him to serve until December 31, 2017. |
| 3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of October 31, 2016, Goldman Sachs Trust consisted of 92 portfolios (91 of which offered shares to the public); Goldman Sachs Variable Insurance Trust consisted of 14 portfolios; Goldman Sachs Trust II consisted of 17 portfolios (15 of which offered shares to the public); Goldman Sachs BDC, Inc., Goldman Sachs Private Middle Market Credit LLC, Goldman Sachs MLP Income Opportunities Fund, and Goldman Sachs MLP and Energy Renaissance Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 15 portfolios (eight of which offered shares to the public). Goldman Sachs Private Middle Market Credit LLC does not offer shares to the public. |
| 4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
74
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 54 | Trustee and President | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 39 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Middle Market Lending LLC; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
Scott M. McHugh 200 West Street New York, NY 10282 Age: 45 | Treasurer, Senior Vice President and Principal Financial Officer | Since 2009 (Principal Financial Officer since 2013) | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (February 2007-December 2015); Assistant Treasurer of certain mutual funds administered by DWS Scudder (2005-2007); and Director (2005-2007), Vice President (2000-2005), and Assistant Vice President (1998-2000), Deutsche Asset Management or its predecessor (1998-2007).
Treasurer, Senior Vice President and Principal Financial Officer — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
| 1 | Information is provided as of October 31, 2016. |
| 2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
75
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Goldman Sachs Trust — Dividend Focus Fund — Tax Information (Unaudited)
For the year ended October 31, 2016, 24.19% and 100.00% of the dividends paid from net investment company taxable income by the Income Builder and Rising Dividend Growth Funds, respectively, qualify for the dividends received deduction available to corporations.
For the year ended October 31, 2016, 35.41% and 100.00% of the dividends paid from net investment company taxable income by the Income Builder and Rising Dividend Growth Funds, respectively, qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
Pursuant to Section 852 of the Internal Revenue Code, the Rising Dividend Growth Fund designates $22,191,751, or if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended October 31, 2016.
76
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.15 trillion in assets under supervision as of September 30, 2016, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman, Sachs & Co. subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| n | Financial Square Treasury Solutions Fund1 |
| n | Financial Square Government Fund1 |
| n | Financial Square Money Market Fund2 |
| n | Financial Square Prime Obligations Fund2 |
| n | Financial Square Treasury Instruments Fund1 |
| n | Financial Square Treasury Obligations Fund1 |
| n | Financial Square Federal Instruments Fund1 |
| n | Financial Square Tax-Exempt Money Market Fund2 |
Investor FundsSM
| n | Investor Money Market Fund3 |
| n | Investor Tax-Exempt Money Market Fund3,4 |
Fixed Income
Short Duration and Government
| n | Enhanced Income Fund |
| n | High Quality Floating Rate Fund |
| n | Short-Term Conservative Income Fund5 |
| n | Short Duration Government Fund |
| n | Short Duration Income Fund |
| n | Government Income Fund |
| n | Inflation Protected Securities Fund |
Multi-Sector
| n | Bond Fund |
| n | Core Fixed Income Fund |
| n | Global Income Fund |
| n | Strategic Income Fund |
Municipal and Tax-Free
| n | High Yield Municipal Fund |
| n | Dynamic Municipal Income Fund |
| n | Short Duration Tax-Free Fund |
Single Sector
| n | Investment Grade Credit Fund |
| n | U.S. Mortgages Fund |
| n | High Yield Fund |
| n | High Yield Floating Rate Fund |
| n | Emerging Markets Debt Fund |
| n | Local Emerging Markets Debt Fund |
| n | Dynamic Emerging Markets Debt Fund |
Fixed Income Alternatives
| n | Long Short Credit Strategies Fund |
| n | Fixed Income Macro Strategies Fund |
Fundamental Equity
| n | Growth and Income Fund |
| n | Small Cap Value Fund |
| n | Small/Mid Cap Value Fund |
| n | Mid Cap Value Fund |
| n | Large Cap Value Fund |
| n | Focused Value Fund |
| n | Capital Growth Fund |
| n | Strategic Growth Fund |
| n | Focused Growth Fund |
| n | Small/Mid Cap Growth Fund |
| n | Flexible Cap Growth Fund |
| n | Concentrated Growth Fund |
| n | Technology Opportunities Fund |
| n | Growth Opportunities Fund |
| n | Rising Dividend Growth Fund |
| n | Dynamic U.S. Equity Fund |
| n | Income Builder Fund |
Tax-Advantaged Equity
| n | U.S. Tax-Managed Equity Fund |
| n | International Tax-Managed Equity Fund |
| n | U.S. Equity Dividend and Premium Fund |
| n | International Equity Dividend and Premium Fund |
Equity Insights
| n | Small Cap Equity Insights Fund |
| n | U.S. Equity Insights Fund |
| n | Small Cap Growth Insights Fund |
| n | Large Cap Growth Insights Fund |
| n | Large Cap Value Insights Fund |
| n | Small Cap Value Insights Fund |
| n | International Small Cap Insights Fund6 |
| n | International Equity Insights Fund |
| n | Emerging Markets Equity Insights Fund |
Fundamental Equity International
| n | Strategic International Equity Fund |
| n | Focused International Equity Fund |
| n | Asia Equity Fund |
| n | Emerging Markets Equity Fund |
| n | N-11 Equity Fund |
Select Satellite
| n | Real Estate Securities Fund |
| n | International Real Estate Securities Fund |
| n | Commodity Strategy Fund |
| n | Global Real Estate Securities Fund |
| n | Dynamic Commodity Strategy Fund |
| n | Dynamic Allocation Fund |
| n | Absolute Return Tracker Fund |
| n | Long Short Fund |
| n | Managed Futures Strategy Fund |
| n | MLP Energy Infrastructure Fund |
| n | Multi-Manager Alternatives Fund |
| n | Multi-Asset Real Return Fund |
| n | Absolute Return Multi-Asset Fund |
| n | Global Infrastructure Fund |
Total Portfolio Solutions
| n | Global Managed Beta Fund |
| n | Multi-Manager Non-Core Fixed Income Fund |
| n | Multi-Manager U.S. Dynamic Equity Fund |
| n | Multi-Manager Global Equity Fund |
| n | Multi-Manager International Equity Fund |
| n | Tactical Tilt Overlay Fund7 |
| n | Balanced Strategy Portfolio |
| n | Multi-Manager U.S. Small Cap Equity Fund |
| n | Multi-Manager Real Assets Strategy Fund |
| n | Growth and Income Strategy Portfolio |
| n | Growth Strategy Portfolio |
| n | Equity Growth Strategy Portfolio |
| n | Satellite Strategies Portfolio |
| n | Enhanced Dividend Global Equity Portfolio |
| n | Tax-Advantaged Global Equity Portfolio |
| n | Strategic Factor Allocation Fund |
| n | Target Date 2020 Portfolio |
| n | Target Date 2025 Portfolio |
| n | Target Date 2030 Portfolio |
| n | Target Date 2035 Portfolio |
| n | Target Date 2040 Portfolio |
| n | Target Date 2045 Portfolio |
| n | Target Date 2050 Portfolio |
| n | Target Date 2055 Portfolio |
| n | GQG Partners International Opportunities Fund |
| 1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | Effective on March 31, 2016, the Goldman Sachs Financial Square Tax-Free Money Market Fund was renamed the Goldman Sachs Investor Tax-Exempt Money Market Fund. |
| 5 | Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund. |
| 6 | Effective at the close of business on February 5, 2016, the Goldman Sachs International Small Cap Fund was reorganized with and into the Goldman Sachs International Small Cap Insights Fund. |
| 7 | Effective on June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund. Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman, Sachs & Co. |
| * | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
| TRUSTEES | OFFICERS | |
Ashok N. Bakhru, Chairman Kathryn A. Cassidy Diana M. Daniels Herbert J. Markley James A. McNamara Jessica Palmer Alan A. Shuch Roy W. Templin Gregory G. Weaver | James A. McNamara, President Scott M. McHugh, Principal Financial Officer, Caroline L. Kraus, Secretary | |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser | |
Visit our website at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s web site at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Fund holdings and allocations shown are as of October 31, 2016 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2016 Goldman Sachs. All rights reserved. 74680-TMPL-12/2016 DIVFOAR-16 / 94k
Goldman Sachs Funds
| Annual Report | October 31, 2016 | |||
Domestic Equity Insights Funds | ||||
Large Cap Growth Insights | ||||
Large Cap Value Insights | ||||
Small Cap Equity Insights | ||||
Small Cap Growth Insights | ||||
Small Cap Value Insights | ||||
U.S. Equity Insights | ||||
Goldman Sachs Domestic Equity Insights Funds
| n | LARGE CAP GROWTH INSIGHTS |
| n | LARGE CAP VALUE INSIGHTS |
| n | SMALL CAP EQUITY INSIGHTS |
| n | SMALL CAP GROWTH INSIGHTS |
| n | SMALL CAP VALUE INSIGHTS |
| n | U.S. EQUITY INSIGHTS |
TABLE OF CONTENTS | ||||
Market Review | 1 | |||
Investment Process | 3 | |||
Portfolio Management Discussion and Performance Summaries | 6 | |||
Schedules of Investments | 43 | |||
Financial Statements | 70 | |||
Financial Highlights | 78 | |||
Notes to Financial Statements | 90 | |||
Report of the Independent Registered Public Accounting Firm | 112 | |||
Other Information | 113 | |||
| NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
MARKET REVIEW
Goldman Sachs Domestic Equity Insights Funds
Market Review
U.S. equities generated a positive return for the 12 months ended October 31, 2016 (the “Reporting Period”). Federal Reserve (“Fed”) monetary policy and economic data were among the biggest themes dominating the U.S. equity markets during the Reporting Period.
After leaving the targeted federal funds rate unchanged at its September and October 2015 policy meetings, the Fed voted unanimously for a 25 basis point interest rate increase in December 2015, a move largely expected by the markets. (A basis point is 1/100th of a percentage point.) However, the fairly dovish language in the announcement, which emphasized “gradual” future adjustments to policy, helped to somewhat assuage the markets. (Dovish language tends to imply lower interest rates; opposite of hawkish.)
At the beginning of 2016, U.S. equities were embroiled in a rout that encompassed the broad global equity market, triggered by investor concerns of an intensifying economic slowdown in China and exacerbated by an oil price plunge. In its January 2016 policy statement, the Fed acknowledged these external risks and tightening financial conditions. U.S. equity markets stabilized in mid-February 2016, as market sentiment improved on the more dovish tone set by global central banks broadly. U.S. equities were also supported by stronger economic data, rallying as the fourth quarter 2015 U.S. Gross Domestic Product (“GDP”) came in above consensus expectations. In March 2016, the Fed kept interest rates on hold and surprised on the dovish side, reducing its forecast to two hikes in 2016, down from four. Along with receding global economic concerns, the dovish forecast helped to drive a recovery in U.S. equities.
Market sentiment appeared to remain sanguine in April 2016, as oil prices rose and China economic growth concerns abated with modestly improving economic data. However, U.S. equities fell near the end of April 2016, as investors were disappointed by a lack of additional stimulus from the Bank of Japan (“BoJ”) and by first quarter 2016 U.S. GDP that was weaker than expected at 0.5%. In May 2016, weaker payroll data drove expectations for a Fed hike during June 2016 temporarily lower, but subsequent hawkish Fed minutes revived market expectations. The Fed ultimately held interest rates steady and signaled a slower pace of hikes, acknowledging the slowdown in the labor market. During June 2016, investors were focused on the U.K. referendum about whether to leave the European Union. Late in the month, after the surprise “leave” result, popularly known as Brexit, U.S. equities declined amid a broad global sell-off. The market later rebounded, owing to improving risk appetite, as investors digested the outcome and on dovish remarks from Bank of England (“BoE”) Governor Mark Carney.
U.S. equities were further buoyed in July 2016 by strong economic data and corporate earnings, though uncertainty generally increased following the Brexit vote. In her Jackson Hole speech toward the end of August 2016, Fed Chair Janet Yellen acknowledged that the case for an interest rate hike had strengthened in recent months. Along with strong labor data and other hawkish comments from the Fed, Yellen’s speech significantly increased market expectations of an interest rate hike by year-end 2016, leading to a selloff in U.S. equities. In early September 2016, U.S. equities declined as the European Central Bank (“ECB”) disappointed markets with its lack of commitment to extending monetary easing beyond March 2017. However, U.S. equities rebounded after the Fed’s decision to leave interest rates unchanged.
In October 2016, a combination of a hawkish Fed commentary and stronger U.S. economic data heightened market expectations for a December 2016 rate hike. Third quarter 2016 U.S.
1
MARKET REVIEW
GDP increased at a 2.9% annual rate, higher than consensus expectations and the strongest growth rate in two years.
For the Reporting Period overall, the S&P 500® Index returned 4.51%, with eight of the 11 sectors in the Index generating positive returns. (Effective after the market close on August 31, 2016, real estate was reclassified as an eleventh sector within the Global Industry Classification Standard (“GICS”).) The utilities and telecommunication services sectors generated double-digit gains, followed by the information technology and consumer staples sectors. The health care, consumer discretionary and financials sectors posted declines.
In terms of market capitalization, large-cap stocks outperformed small-cap stocks. The Russell 2000® Index, which measures the small-cap universe, returned 4.10% during the Reporting Period. In the style arena, value stocks outperformed growth stocks overall. The Russell 1000® Value Index, representing large-cap value stocks, rose 6.35% during the Reporting Period, while the Russell 1000® Growth Index, representing large-cap growth stocks, returned 2.28%.
Looking Ahead
At the end of the Reporting Period, we continued to believe that less expensive stocks should outpace more expensive stocks. In addition, we expected stocks with good momentum to outperform those with poor momentum. We plan to focus on seeking companies about which fundamental research analysts are becoming more positive as well as profitable companies with sustainable earnings and a track record of using their capital to enhance shareholder value. As such, we anticipate remaining fully invested, with long-term performance likely to be the result of stock selection rather than sector or capitalization allocations.
We stand behind our investment philosophy that sound economic investment principles, coupled with a disciplined quantitative approach, can potentially provide strong, uncorrelated returns over the long term. Our research agenda is robust, and we continue to enhance our existing models, add new proprietary forecasting signals and improve our trading execution as we seek to provide the most value to our shareholders.
2
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
What Differentiates Goldman Sachs’
Domestic Equity Insights Funds Investment Process?
At Goldman Sachs Asset Management, L.P. (“GSAM”), Equity Insights combines traditional fundamental analysis with sophisticated quantitative modeling. Our approach is not unlike that of a more traditional active manager: we look at fundamental investment themes that have been effective historically in forecasting excess returns of stocks. However, where we differ from traditional managers is that we seek to rigorously test every potential research theme or signal to verify whether they have shown consistent predictive ability across a wide variety of stocks in different time periods and under different market conditions.
| n | Comprehensive – We calculate expected excess returns for more than 10,000 stocks on a daily basis. |
| n | Rigorous – We evaluate stocks based on fundamental investment criteria that have outperformed historically. |
| n | Objective – Our stock selection process is free from the emotion that may lead to biased investment decisions. |
| n | Our computer optimization process allocates risk to our high conviction investment ideas and constructs funds that strive to neutralize systematic risks and deliver better returns. |
| n | We use a proprietary risk model that is designed to be more precise, more focused and faster to respond because it seeks to identify, track and manage risk specific to our process, using daily data. |
Fully invested, well-diversified portfolio that seeks to:
| n | Maintain style, sector, risk and capitalization characteristics similar to the benchmark. |
| n | Offer broad access to a clearly defined equity universe. |
| n | Generate excess returns that are positive, consistent and repeatable. |
3
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Enhancements Made to Proprietary Quantitative Model during the 12-Month Period Ended October 31, 2016
We continuously look for ways to improve our investment process. Accordingly, we introduced a number of enhancements to our proprietary quantitative model during the 12-month period ended October 31, 2016 (the “Reporting Period”).
We enhanced our Management theme by expanding the scope of an existing signal that looks at managements’ personal transactions in the stock of their respective company. Corporate executives purchasing or selling shares can potentially signal their conviction in the company’s stock when assessed under the right circumstances. We obtain and analyze this information through regulatory filings for more than 7,500 companies globally. In addition, we expanded the scope of two signals within our global linkages theme. First, we extended a signal, which analyzes patent data to identify economically linked companies, to all investment regions. We now analyze about 40 million patents from various patent offices for more than 3,000 companies globally to establish the economic linkages between stocks of various industries. Second, we extended a signal that establishes economic linkages between companies in the automotive supply chain from Japan to the U.S. investment region. We take a differentiated, region-specific approach and analyze the potential relationships between the stock returns of suppliers and manufacturers multiple levels down the supply chain.
In addition, during the Reporting Period, we enhanced our Momentum theme by introducing a signal that evaluates linkages embedded within companies’ web pages. Embedded linkages are effective indicators of the similarity of the underlying businesses of companies across a variety of sectors such as retail, media, hospitality, software, banks, airlines and others. We also enhanced our Profitability theme for stocks within developed markets by introducing a factor that evaluates the geographic exposure of companies by tracking the physical locations of their branches, outlets and subsidiaries. In our view, a company with a footprint in growing parts of the world is better positioned relative to a company with a footprint in contracting parts of the world. We are able to estimate this factor for more than 5,500 companies globally that have more than one million subsidiaries spread across more than 47,000 cities in more than 200 countries. This extends our analysis of a company’s global footprint, which has focused historically on the revenue mix across markets.
Furthermore, during the Reporting Period, we undertook research of various Environmental, Social and Governance (“ESG”) metrics and their ability to forecast returns. We have enhanced our models with the following ESG-related metrics:
Within the Quality theme, we introduced an environmental impact factor, which measures the amount of environmental resources consumed to produce a unit of output for more than 2,000 companies. This factor helps us to strategically tilt toward companies with favorable environmental profiles.
Within the Momentum theme, we introduced the ESG topic signal. We use natural language processing techniques to read through more than 24,000 articles, collected since 1999, on Corporate Social Responsibility (“CSR”) activities to identify economic linkages among more than 1,000 companies. The signal aims to identify companies linked to each other by common CSR themes and can help us to dynamically adjust our positions accordingly.
4
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Changes to the Domestic Equity Insights Funds’ Portfolio Management Team
On February 5, 2016, Ron Hua, Chief Investment Officer of Equity Alpha Strategies for the Quantitative Investment Strategies (“QIS”) Team, announced his intention to retire from Goldman Sachs Asset Management, L.P. (“GSAM”). As such, effective that date, Mr. Hua no longer had portfolio management responsibilities for the Domestic Equity Insights Funds (the “Funds”). Effective February 5, 2016, Armen Avanessians assumed the responsibilities as Chief Investment Officer of GSAM’s Equity Alpha Team, overseeing research, portfolio management and implementation for all of the Funds. As always, the QIS platform is organized into a series of specialist portfolio management teams that focus on generating and implementing investment ideas within their area of expertise. Investment decisions are made by these portfolio management teams, rather than by one portfolio manager or committee. Ultimate accountability for each of the Funds resides with the senior portfolio managers dedicated to each QIS Team strategy, who oversee their respective research, portfolio management and implementation processes.
5
PORTFOLIO RESULTS
Goldman Sachs Large Cap Growth Insights Fund
Investment Objective
The Fund seeks long-term growth of capital, with dividend income as a secondary consideration.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Large Cap Growth Insights Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2016 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional, Service, IR, R and R6 Shares generated average annual total returns, without sales charges, of 1.93%, 1.18%, 2.35%, 1.82%, 2.18%, 1.66% and 2.38%, respectively. These returns compare to the 2.28% average annual total return of the Fund’s benchmark, the Russell 1000® Growth Index (with dividends reinvested) (the “Index”), during the same period. |
| Q | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | During the Reporting Period, four of our quantitative model’s six investment themes contributed positively to relative returns. However, the Fund generally underperformed the Index, largely because of certain individual stock positions. |
| Q | What impact did the Fund’s investment themes have on performance during the Reporting Period? |
| A | In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit. |
| During the Reporting Period, four of our six investment themes added to the Fund’s relative returns. Sentiment contributed most positively to performance. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. Quality, Valuation and Momentum also enhanced relative results. The Quality theme seeks to assess both firm and management quality. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. |
| The impact of our Management and Profitability themes on relative performance was rather neutral during the Reporting Period. The Management theme seeks to assess the characteristics, policies and strategic decisions of company management. The Profitability theme seeks to assess whether a company is earning more than its cost of capital. |
| Q | How did the Fund’s sector and industry allocations affect relative performance? |
| A | In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund tends to be similar to the Index in terms of its sector and industry allocations and style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance. |
| Q | Did stock selection help or hurt Fund performance during the Reporting Period? |
| A | We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile |
6
PORTFOLIO RESULTS
similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the benchmark. |
| Certain stock positions caused the Fund to generally underperform the Index. Stock picks in the materials, financials and utilities sectors detracted from relative returns. Investments in the consumer discretionary, industrials and energy sectors bolstered relative performance. |
| Q | Which individual stock positions detracted most from the Fund’s results during the Reporting Period? |
| A | Overweight positions in McKesson, Marathon Petroleum and HollyFrontier detracted from relative performance. The Fund was overweight McKesson, a pharmaceutical distributor and health care information technology company, because of our positive views on Momentum, Sentiment and Quality. We adopted the overweight in petroleum refiner Marathon Petroleum based on our positive views on Sentiment and Valuation. The Fund’s overweight in HollyFrontier, also a petroleum refiner, was the result of our positive views on Valuation, Momentum and Profitability. |
| Q | Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period? |
| A | The Fund benefited from overweight positions in Tyson Foods and Equity LifeStyle Properties. We chose to overweight food maker Tyson Foods because of our positive views on Momentum and Valuation. The overweight in Equity LifeStyle Properties, which owns and operates a portfolio of resort communities and lifestyle oriented properties, was the result of our positive views on Sentiment and Quality. An underweight in pharmaceutical company Allergan also added to performance. We assumed the underweight in Allergan due to our negative views on Momentum and Quality. |
| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | During the Reporting Period, we used financial futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of financial futures contracts. The use of these derivatives did not have a material impact on Fund results during the Reporting Period. |
| Q | What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period? |
| A | At the end of the Reporting Period, the Fund was overweight the health care, utilities, materials and real estate sectors relative to the Index. (Effective after the market close on August 31, 2016, real estate was reclassified as an eleventh sector within the Global Industry Classification Standard (“GICS”).) Compared to the Index, the Fund was underweight the consumer staples, consumer discretionary and information technology sectors. The Fund was relatively neutral compared to the Index in the financials, industrials, energy and telecommunication services sectors at the end of the Reporting Period. |
7
FUND BASICS
Large Cap Growth Insights Fund
as of October 31, 2016
| PERFORMANCE REVIEW | ||||||||||
| November 1, 2015–October 31, 2016 | Fund Total Return (based on NAV)1 | Russell 1000® Growth Index2 | ||||||||
| Class A | 1.93 | % | 2.28 | % | ||||||
| Class C | 1.18 | 2.28 | ||||||||
| Institutional | 2.35 | 2.28 | ||||||||
| Service | 1.82 | 2.28 | ||||||||
| Class IR | 2.18 | 2.28 | ||||||||
| Class R | 1.66 | 2.28 | ||||||||
| Class R6 | 2.38 | 2.28 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Russell 1000® Growth Index (with dividends reinvested) is an unmanaged market capitalization weighted index of the 1000 largest U.S. companies with higher price-to-book ratios and higher forecasted growth values. The figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
| STANDARDIZED TOTAL RETURNS3 | ||||||||||||||||||||
| For the period ended 9/30/16 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
| Class A | 7.19 | % | 15.90 | % | 6.13 | % | 5.31 | % | 5/1/97 | |||||||||||
| Class C | 11.55 | 16.36 | 5.92 | 3.99 | 8/15/97 | |||||||||||||||
| Institutional | 13.88 | 17.70 | 7.17 | 6.03 | 5/1/97 | |||||||||||||||
| Service | 13.30 | 17.11 | 6.62 | 5.51 | 5/1/97 | |||||||||||||||
| Class IR | 13.70 | 17.52 | N/A | 7.06 | 11/30/07 | |||||||||||||||
| Class R | 13.16 | 16.95 | N/A | 6.55 | 11/30/07 | |||||||||||||||
| Class R6 | 13.91 | N/A | N/A | 3.71 | 7/31/15 | |||||||||||||||
| 3 | The Standardized Total Returns are average annual or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
8
FUND BASICS
| EXPENSE RATIOS4 | ||||||||||
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Class A | 0.96 | % | 1.16 | % | ||||||
| Class C | 1.71 | 1.91 | ||||||||
| Institutional | 0.56 | 0.76 | ||||||||
| Service | 1.06 | 1.26 | ||||||||
| Class IR | 0.71 | 0.91 | ||||||||
| Class R | 1.21 | 1.41 | ||||||||
| Class R6 | 0.54 | 0.74 | ||||||||
| 4 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least February 26, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
| TOP TEN HOLDINGS AS OF 10/31/165 | ||||||||
| Holding | % of Net Assets | Line of Business | ||||||
| Apple, Inc. | 5.1 | % | Technology Hardware, Storage & Peripherals | |||||
| Microsoft Corp. | 3.4 | Software | ||||||
| Amazon.com, Inc. | 3.0 | Internet & Direct Marketing Retail | ||||||
| Facebook, Inc. Class A | 2.9 | Internet Software & Services | ||||||
| Alphabet, Inc. Class A | 2.4 | Internet Software & Services | ||||||
| Alphabet, Inc. Class C | 2.4 | Internet Software & Services | ||||||
| UnitedHealth Group, Inc. | 2.0 | Health Care Providers & Services | ||||||
| Amgen, Inc. | 1.9 | Biotechnology | ||||||
| AbbVie, Inc. | 1.5 | Biotechnology | ||||||
| The TJX Cos., Inc. | 1.5 | Specialty Retail | ||||||
| 5 | The top 10 holdings may not be representative of the Fund’s future investments. |
9
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of October 31, 2016 |
| 6 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investments in the securities lending reinvestment vehicle represented 0.2% of the Fund’s net assets as of October 31, 2016. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
10
GOLDMAN SACHS LARGE CAP GROWTH INSIGHTS FUND
Performance Summary
October 31, 2016
The following graph shows the value, as of October 31, 2016, of a $1,000,000 investment made on November 1, 2006 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Russell 1000® Growth Index (with dividends reinvested), is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class A, Class C, Service, Class IR, Class R and Class R6 Shares will vary from Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund.
| Large Cap Growth Insights Fund’s 10 Year Performance |
Performance of a $1,000,000 Investment, including any applicable sales charges, with distributions reinvested, from November 1, 2006 through October 31, 2016.
| Average Annual Total Return through October 31, 2016 | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A (Commenced May 1, 1997) | ||||||||||||||
Excluding sales charges | 1.93% | 14.16% | 6.23% | 5.48% | ||||||||||
Including sales charges | -3.68% | 12.88% | 5.63% | 5.17% | ||||||||||
| ||||||||||||||
Class C (Commenced August 15, 1997) | ||||||||||||||
Excluding contingent deferred sales charges | 1.18% | 13.30% | 5.42% | 3.86% | ||||||||||
Including contingent deferred sales charges | 0.18% | 13.30% | 5.42% | 3.86% | ||||||||||
| ||||||||||||||
Institutional Class (Commenced May 1, 1997) | 2.35% | 14.63% | 6.66% | 5.89% | ||||||||||
| ||||||||||||||
Service Class (Commenced May 1, 1997) | 1.82% | 14.05% | 6.13% | 5.37% | ||||||||||
| ||||||||||||||
Class IR (Commenced November 30, 2007) | 2.18% | 14.44% | N/A | 6.74% | ||||||||||
| ||||||||||||||
Class R (Commenced November 30, 2007) | 1.66% | 13.89% | N/A | 6.22% | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | 2.38% | N/A | N/A | 1.76% | ||||||||||
| ||||||||||||||
11
PORTFOLIO RESULTS
Goldman Sachs Large Cap Value Insights Fund
Investment Objective
The Fund seeks long-term growth of capital and dividend income.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Large Cap Value Insights Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2016 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional, Service, IR, R and R6 Shares generated average annual total returns, without sales charges, of 3.35%, 2.56%, 3.69%, 3.22%, 3.57%, 3.08% and 3.76%, respectively. These returns compare to the 6.35% average annual total return of the Fund’s benchmark, the Russell 1000® Value Index (with dividends reinvested) (the “Index”), during the same period. |
| Q | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | During the Reporting Period, four of our quantitative model’s six investment themes contributed positively to relative returns. However, the Fund underperformed the Index because of certain individual stock positions. |
| Q | What impact did the Fund’s investment themes have on performance during the Reporting Period? |
| A | In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit. |
| During the Reporting Period, four of our six investment themes — Sentiment, Valuation, Quality and Momentum — added to the Fund’s relative results. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. The Quality theme seeks to assess both firm and management quality. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. |
| The impact of our Management and Profitability themes on relative performance was rather neutral during the Reporting Period. The Management theme seeks to assess the characteristics, policies and strategic decisions of company management. The Profitability theme seeks to assess whether a company is earning more than its cost of capital. |
| Q | How did the Fund’s sector and industry allocations affect relative performance? |
| A | In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund tends to be similar to the Index in terms of its sector and industry allocations and its style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance. |
| Q | Did stock selection help or hurt Fund performance during the Reporting Period? |
| A | We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile |
12
PORTFOLIO RESULTS
similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the benchmark. |
| During the Reporting Period, security selection overall detracted from the Fund’s relative performance. The Fund was hurt by individual stock positions in the health care, utilities and information technology sectors. Investments in the consumer discretionary, telecommunication services and industrials sectors contributed positively. |
| Q | Which individual stock positions detracted most from the Fund’s results during the Reporting Period? |
| A | In terms of its individual stock positions, the Fund was hurt most during the Reporting Period by overweights in Marathon Petroleum and Bank of America. An underweight in AT&T also detracted from relative results. We adopted the overweight in petroleum refiner Marathon Petroleum due to our positive views on Sentiment and Valuation. The overweight in Bank of America was the result of our positive views on Valuation and Momentum. We assumed the underweight in telecommunications company AT&T due to our negative views on Quality and Management. |
| Q | Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period? |
| A | The Fund benefited from overweight positions in Steel Dynamics and Tyson Foods during the Reporting Period. |
| We chose to overweight steel producer Steel Dynamics based on our positive views on Sentiment and Quality. The Fund was overweight food maker Tyson Foods because of our positive views on Momentum and Valuation. An underweight in pharmaceutical company Allergan also added to performance. We assumed the underweight in Allergan due to our negative views on Momentum and Quality. |
| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | During the Reporting Period, we used financial futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of financial futures contracts. The use of these derivatives did not have a material impact on Fund results during the Reporting Period. |
| Q | What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period? |
| A | At the end of the Reporting Period, the Fund was overweight the materials, industrials, health care and telecommunication services sectors relative to the Index. Compared to the Index, the Fund was underweight the financials, consumer staples, energy, information technology and real estate sectors. (Effective after the market close on August 31, 2016, real estate was reclassified as an eleventh sector within the Global Industry Classification Standard (“GICS”).) The Fund was relatively neutral compared to the Index in the utilities and consumer discretionary sectors at the end of the Reporting Period. |
13
FUND BASICS
Large Cap Value Insights Fund
as of October 31, 2016
| PERFORMANCE REVIEW | ||||||||||
| November 1, 2015–October 31, 2016 | Fund Total Return (based on NAV)1 | Russell 1000® Value Index2 | ||||||||
| Class A | 3.35 | % | 6.35 | % | ||||||
| Class C | 2.56 | 6.35 | ||||||||
| Institutional | 3.69 | 6.35 | ||||||||
| Service | 3.22 | 6.35 | ||||||||
| Class IR | 3.57 | 6.35 | ||||||||
| Class R | 3.08 | 6.35 | ||||||||
| Class R6 | 3.76 | 6.35 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Russell 1000® Value Index (with dividends reinvested) is an unmanaged market capitalization weighted index of the 1000 largest U.S. companies with lower price-to-book ratios and lower forecasted growth values. The figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
| STANDARDIZED TOTAL RETURNS3 | ||||||||||||||||||||
| For the period ended 9/30/16 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
| Class A | 6.88 | % | 14.10 | % | 3.77 | % | 4.91 | % | 12/31/98 | |||||||||||
| Class C | 11.22 | 14.53 | 3.58 | 4.46 | 12/31/98 | |||||||||||||||
| Institutional | 13.53 | 15.86 | 4.78 | 5.66 | 12/31/98 | |||||||||||||||
| Service | 12.96 | 15.26 | 4.25 | 5.14 | 12/31/98 | |||||||||||||||
| Class IR | 13.41 | 15.68 | N/A | 4.91 | 11/30/07 | |||||||||||||||
| Class R | 12.75 | 15.10 | N/A | 4.39 | 11/30/07 | |||||||||||||||
| Class R6 | 13.55 | N/A | N/A | 2.93 | 7/31/15 | |||||||||||||||
| 3 | The Standardized Total Returns are average annual or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
14
FUND BASICS
| EXPENSE RATIOS4 | ||||||||||
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Class A | 0.96 | % | 1.12 | % | ||||||
| Class C | 1.71 | 1.87 | ||||||||
| Institutional | 0.56 | 0.72 | ||||||||
| Service | 1.06 | 1.22 | ||||||||
| Class IR | 0.71 | 0.87 | ||||||||
| Class R | 1.21 | 1.37 | ||||||||
| Class R6 | 0.54 | 0.70 | ||||||||
| 4 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least February 26, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
| TOP TEN HOLDINGS AS OF 10/31/165 | ||||||||
| Holding | % of Net Assets | Line of Business | ||||||
| JPMorgan Chase & Co. | 3.5 | % | Banks | |||||
| AT&T, Inc. | 3.1 | Diversified Telecommunication Services | ||||||
| Exxon Mobil Corp. | 2.5 | Oil, Gas & Consumable Fuels | ||||||
| Johnson & Johnson | 2.2 | Pharmaceuticals | ||||||
| Wal-Mart Stores, Inc. | 2.0 | Food & Staples Retailing | ||||||
| Oracle Corp. | 1.9 | Software | ||||||
| Medtronic PLC | 1.7 | Health Care Equipment & Supplies | ||||||
| Berkshire Hathaway, Inc. Class B | 1.7 | Diversified Financial Services | ||||||
| Merck & Co., Inc. | 1.6 | Pharmaceuticals | ||||||
| The Bank of New York Mellon Corp. | 1.4 | Capital Markets | ||||||
| 5 | The top 10 holdings may not be representative of the Fund’s future investments. |
15
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of October 31, 2016 |
| 6 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
16
GOLDMAN SACHS LARGE CAP VALUE INSIGHTS FUND
Performance Summary
October 31, 2016
The following graph shows the value, as of October 31, 2016, of a $1,000,000 investment made on November 1, 2006 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Russell 1000® Value Index (with dividends reinvested), is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class A, Class C, Service, Class IR, Class R and Class R6 Shares will vary from Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund.
| Large Cap Value Insights Fund’s 10 Year Performance |
Performance of a $1,000,000 Investment, including any applicable sales charges, with distributions reinvested, from November 1, 2006 through October 31, 2016.
| Average Annual Total Return through October 31, 2016 | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A (Commenced December 31, 1998) | ||||||||||||||
Excluding sales charges | 3.35% | 12.65% | 3.97% | 5.15% | ||||||||||
Including sales charges | -2.29% | 11.39% | 3.38% | 4.82% | ||||||||||
| ||||||||||||||
Class C (Commenced December 31, 1998) | ||||||||||||||
Excluding contingent deferred sales charges | 2.56% | 11.83% | 3.19% | 4.36% | ||||||||||
Including contingent deferred sales charges | 1.56% | 11.83% | 3.19% | 4.36% | ||||||||||
| ||||||||||||||
Institutional Class (Commenced December 31, 1998) | 3.69% | 13.10% | 4.38% | 5.56% | ||||||||||
| ||||||||||||||
Service Class (Commenced December 31, 1998) | 3.22% | 12.54% | 3.87% | 5.04% | ||||||||||
| ||||||||||||||
Class IR (Commenced November 30, 2007) | 3.57% | 12.93% | N/A | 4.73% | ||||||||||
| ||||||||||||||
Class R (Commenced November 30, 2007) | 3.08% | 12.36% | N/A | 4.21% | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | 3.76% | N/A | N/A | 1.84% | ||||||||||
| ||||||||||||||
17
PORTFOLIO RESULTS
Goldman Sachs Small Cap Equity Insights Fund
Investment Objective
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Small Cap Equity Insights Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2016 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional, Service, IR, R and R6 Shares generated average annual total returns, without sales charges, of 3.44%, 2.61%, 3.77%, 3.29%, 3.63%, 3.11% and 3.81%, respectively. These returns compare to the 4.10% average annual total return of the Fund’s benchmark, the Russell 2000® Index (with dividends reinvested) (the “Index”), during the same period. |
| Q | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | During the Reporting Period, the Fund underperformed the Index, largely due to one of our quantitative model’s six investment themes. More specifically, our Management theme underperformed during the Reporting Period. |
| Q | What impact did the Fund’s investment themes have on performance during the Reporting Period? |
| A | In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit. |
| During the Reporting Period, our Management theme, which seeks to assess the characteristics, policies and strategic decisions of company management, detracted from relative performance. |
| Four of our other five investment themes added to the Fund’s relative returns. Valuation, Quality and Sentiment contributed most positively, followed by Momentum. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. The Quality theme seeks to assess both firm and management quality. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. |
| The impact of our Profitability theme on relative results was rather neutral during the Reporting Period. The Profitability theme seeks to assess whether a company is earning more than its cost of capital. |
| Q | How did the Fund’s sector and industry allocations affect relative performance? |
| A | In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund tends to be similar to the Index in terms of its sector and industry allocations and its style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance. That said, the contribution overall of the Fund’s sector allocation dampened relative performance during the Reporting Period. |
18
PORTFOLIO RESULTS
| Q | Did stock selection help or hurt Fund performance during the Reporting Period? |
| A | We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the benchmark. |
| During the Reporting Period, security selection overall added modestly to the Fund’s relative performance. The Fund’s investments in the financials, industrials and information technology sectors enhanced results. Stock selection in the materials, health care and real estate sectors detracted from relative returns. (Effective after the market close on August 31, 2016, real estate was reclassified as an eleventh sector within the Global Industry Classification Standard (“GICS”).) |
| Q | Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period? |
| A | Overweight positions in Finisar, Quad/graphics and Cepheid contributed most positively to the Fund’s relative performance. Our positive views on Management and Sentiment led to the overweight in Finisar, a manufacturer of optical communication components and subsystems. The overweight in commercial printer Quad/graphics was due to our positive views on Quality and Valuation, while the Fund’s overweight in molecular diagnostics company Cepheid was the result of our positive views on Momentum and Quality. |
| Q | Which individual stock positions detracted most from the Fund’s results during the Reporting Period? |
| A | The Fund was hurt during the Reporting Period by its overweight in Myriad Genetics, a molecular diagnostics company; Cray, a supercomputer manufacturer; and Impax Laboratories, a specialty pharmaceutical company. We chose to overweight Myriad Genetics because of our positive views on Quality and Valuation. Our positive views on Valuation and Momentum led to the overweight in Cray. The Fund was overweight Impax Laboratories based on our positive views on Valuation and Sentiment. |
| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | During the Reporting Period, we used financial futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of financial futures contracts. The use of these derivatives did not have a material impact on Fund results during the Reporting Period. |
| Q | What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period? |
| A | At the end of the Reporting Period, the Fund was overweight the consumer discretionary, industrials and materials sectors relative to the Index. Compared to the Index, the Fund was underweight the real estate, information technology, consumer staples and financials sectors. The Fund was relatively neutral compared to the Index in the telecommunication services, energy, utilities and health care sectors at the end of the Reporting Period. |
19
FUND BASICS
Small Cap Equity Insights Fund
as of October 31, 2016
| PERFORMANCE REVIEW | ||||||||||
| November 1, 2015–October 31, 2016 | Fund Total Return (based on NAV)1 | Russell 2000® Index2 | ||||||||
| Class A | 3.44 | % | 4.10 | % | ||||||
| Class C | 2.61 | 4.10 | ||||||||
| Institutional | 3.77 | 4.10 | ||||||||
| Service | 3.29 | 4.10 | ||||||||
| Class IR | 3.63 | 4.10 | ||||||||
| Class R | 3.11 | 4.10 | ||||||||
| Class R6 | 3.81 | 4.10 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Russell 2000® Index (with dividends reinvested) is an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000® Index. The figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
| STANDARDIZED TOTAL RETURNS3 | ||||||||||||||||||||
| For the period ended 9/30/16 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
| Class A | 10.04 | % | 13.94 | % | 4.99 | % | 6.25 | % | 8/15/97 | |||||||||||
| Class C | 14.51 | 14.38 | 4.79 | 5.79 | 8/15/97 | |||||||||||||||
| Institutional | 16.86 | 15.70 | 6.00 | 6.99 | 8/15/97 | |||||||||||||||
| Service | 16.31 | 15.12 | 5.46 | 6.46 | 8/15/97 | |||||||||||||||
| Class IR | 16.69 | 15.51 | N/A | 7.60 | 11/30/07 | |||||||||||||||
| Class R | 16.10 | 14.95 | N/A | 7.08 | 11/30/07 | |||||||||||||||
| Class R6 | 16.86 | N/A | N/A | 5.52 | 7/31/15 | |||||||||||||||
| 3 | The Standardized Total Returns are average annual total or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
20
FUND BASICS
| EXPENSE RATIOS4 | ||||||||||
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Class A | 1.24 | % | 1.45 | % | ||||||
| Class C | 1.99 | 2.20 | ||||||||
| Institutional | 0.84 | 1.05 | ||||||||
| Service | 1.34 | 1.56 | ||||||||
| Class IR | 0.99 | 1.21 | ||||||||
| Class R | 1.49 | 1.70 | ||||||||
| Class R6 | 0.82 | 1.03 | ||||||||
| 4 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least February 26, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
| TOP TEN HOLDINGS AS OF 10/31/165,6 | ||||||||
| Holding | % of Net Assets | Line of Business | ||||||
| Portland General Electric Co. | 0.8 | % | Electric Utilities | |||||
| Southwest Gas Corp. | 0.8 | Gas Utilities | ||||||
| Hudson Pacific Properties, Inc. | 0.7 | Equity Real Estate Investment Trusts (REITs) | ||||||
| Umpqua Holdings Corp. | 0.7 | Banks | ||||||
| SkyWest, Inc. | 0.7 | Airlines | ||||||
| Radian Group, Inc. | 0.7 | Thrifts & Mortgage Finance | ||||||
| Prosperity Bancshares, Inc. | 0.7 | Banks | ||||||
| Fair Isaac Corp. | 0.7 | Software | ||||||
| Piper Jaffray Cos. | 0.7 | Capital Markets | ||||||
| Washington Federal, Inc. | 0.7 | Thrifts & Mortgage Finance | ||||||
| 5 | The top 10 holdings may not be representative of the Fund’s future investments. |
| 6 | The Fund’s overall top ten holdings differ from the table above due to the exclusion of the Goldman Sachs Financial Square Government Fund (a short term investment fund), which represents 1.2% of the Fund’s net assets as of 10/31/16. |
21
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATIONS7 |
| As of October 31, 2016 |
| 7 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investments in the securities lending reinvestment vehicle represented 2.5% of the Fund’s net assets as of October 31, 2016. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
22
GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND
Performance Summary
October 31, 2016
The following graph shows the value, as of October 31, 2016, of a $1,000,000 investment made on November 1, 2006 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Russell 2000® Index (with dividends reinvested), is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class A, Class C, Service, Class IR, Class R and Class R6 Shares will vary from Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund.
| Small Cap Equity Insights Fund’s 10 Year Performance |
Performance of a $1,000,000 Investment, including any applicable sales charges, with distributions reinvested, from November 1, 2006 through October 31, 2016.
| Average Annual Total Return through October 31, 2016 | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A (Commenced August 15, 1997) | ||||||||||||||
Excluding sales charges | 3.44% | 10.77% | 4.57% | 6.29% | ||||||||||
Including sales charges | -2.23% | 9.53% | 3.98% | 5.98% | ||||||||||
| ||||||||||||||
Class C (Commenced August 15, 1997) | ||||||||||||||
Excluding contingent deferred sales charges | 2.61% | 9.95% | 3.80% | 5.51% | ||||||||||
Including contingent deferred sales charges | 1.61% | 9.95% | 3.80% | 5.51% | ||||||||||
| ||||||||||||||
Institutional Class (Commenced August 15, 1997) | 3.77% | 11.21% | 4.99% | 6.71% | ||||||||||
| ||||||||||||||
Service Class (Commenced August 15, 1997) | 3.29% | 10.66% | 4.46% | 6.18% | ||||||||||
| ||||||||||||||
Class IR (Commenced November 30, 2007) | 3.63% | 11.04% | N/A | 6.98% | ||||||||||
| ||||||||||||||
Class R (Commenced November 30, 2007) | 3.11% | 10.49% | N/A | 6.47% | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | 3.81% | N/A | N/A | 1.48% | ||||||||||
| ||||||||||||||
23
PORTFOLIO RESULTS
Goldman Sachs Small Cap Growth Insights Fund
Investment Objective
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Small Cap Growth Insights Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2016 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional, IR, R and R6 Shares generated average annual total returns, without sales charges, of -0.37%, -1.14%, 0.01%, -0.15%, -0.63% and 0.07%, respectively. These returns compare to the -0.49% average annual total return of the Fund’s benchmark, the Russell 2000® Growth Index (with dividends reinvested) (the “Index”), during the same period. |
| Q | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | During the Reporting Period, the Fund generally outperformed the Index, with four of our quantitative model’s six investment themes contributing positively to relative returns. Securities lending also contributed positively to performance. |
| Q | What impact did the Fund’s investment themes have on performance during the Reporting Period? |
| A | In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit. |
| During the Reporting Period, four of our six investment themes added to the Fund’s relative returns. Valuation was our best-performing theme. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. Sentiment, Quality and Momentum also contributed positively. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. The Quality theme seeks to assess both firm and management quality. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. |
| Our Management theme, which seeks to assess the characteristics, policies and strategic decisions of company management, detracted from relative performance. |
| The impact of our Profitability theme on relative results was rather neutral during the Reporting Period. The Profitability theme seeks to assess whether a company is earning more than its cost of capital. |
| Q | How did the Fund’s sector and industry allocations affect relative performance? |
| A | In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund tends to be similar to the Index in terms of its sector and industry allocations and style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance. That said, the contribution overall of the Fund’s sector allocation dampened relative performance during the Reporting Period. |
24
PORTFOLIO RESULTS
| Q | Did stock selection help or hurt Fund performance during the Reporting Period? |
| A | We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the benchmark. |
| During the Reporting Period, security selection overall added to the Fund’s relative performance. Stock selection in the consumer discretionary, financials and industrials sectors bolstered results. Investments in the energy, telecommunication services and information technology sectors detracted from relative returns. |
| Q | Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period? |
| A | The Fund benefited during the Reporting Period from an underweight position in Restoration Hardware. Overweights in Advanced Energy Industries and Coresite Realty also added to relative results. We chose to underweight home furnishings company Restoration Hardware because of our negative views on Sentiment and Quality. Our positive views on Sentiment and Quality led to the overweight in Advanced Energy Industries, which develops power and control technologies for the manufacture of semiconductors, flat panel displays, data storage products, solar cells and architectural glass. The overweight in Coresite Realty, a provider of data centers and interconnection services, was the result of our positive views on Momentum and Sentiment. |
| Q | Which individual stock positions detracted most from the Fund’s results during the Reporting Period? |
| A | Detracting most from the Fund’s relative returns were overweight positions in Cray, a supercomputer manufacturer; Impax Laboratories, a specialty pharmaceutical company; and Myriad Genetics, a molecular diagnostics company. We chose to overweight Cray due to our positive views on Valuation and Momentum, while the Fund was overweight Impax Laboratories because of our positive views on Valuation and Sentiment. We adopted the overweight in Myriad Genetics based on our positive views on Quality and Valuation. |
| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | During the Reporting Period, we used financial futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of financial futures contracts. The use of these derivatives had a positive impact on Fund results during the Reporting Period. |
| Q | What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period? |
| A | At the end of the Reporting Period, the Fund was overweight the consumer discretionary and industrials sectors relative to the Index. Compared to the Index, the Fund was underweight the information technology, health care, real estate and consumer staples sectors. (Effective after the market close on August 31, 2016, real estate was reclassified as an eleventh sector within the Global Industry Classification Standard (“GICS”).) The Fund was relatively neutral compared to the Index in the energy, telecommunication services, financials and utilities and materials sectors at the end of the Reporting Period. |
25
FUND BASICS
Small Cap Growth Insights Fund
as of October 31, 2016
| PERFORMANCE REVIEW | ||||||||||
| November 1, 2015–October 31, 2016 | Fund Total Return (based on NAV)1 | Russell 2000 Growth® Index2 | ||||||||
| Class A | -0.37 | % | -0.49 | % | ||||||
| Class C | -1.14 | -0.49 | ||||||||
| Institutional | 0.01 | -0.49 | ||||||||
| Class IR | -0.15 | -0.49 | ||||||||
| Class R | -0.63 | -0.49 | ||||||||
| Class R6 | 0.07 | -0.49 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Russell 2000® Growth Index (with dividends reinvested) is an unmanaged index of common stock prices that measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
| STANDARDIZED TOTAL RETURNS3 | ||||||||||||||||
| For the period ended 9/30/16 | One Year | Five Years | Since Inception | Inception Date | ||||||||||||
| Class A | 6.92 | % | 14.83 | % | 5.90 | % | 6/25/07 | |||||||||
| Class C | 11.19 | 15.27 | 5.76 | 6/25/07 | ||||||||||||
| Institutional | 13.57 | 16.59 | 6.98 | 6/25/07 | ||||||||||||
| Class IR | 13.42 | 16.42 | 8.30 | 11/30/07 | ||||||||||||
| Class R | 12.85 | 15.84 | 7.75 | 11/30/07 | ||||||||||||
| Class R6 | 13.63 | N/A | 1.22 | 7/31/15 | ||||||||||||
| 3 | The Standardized Total Returns are average annual or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
26
FUND BASICS
| EXPENSE RATIOS4 | ||||||||||
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Class A | 1.25 | % | 1.59 | % | ||||||
| Class C | 2.00 | 2.35 | ||||||||
| Institutional | 0.85 | 1.19 | ||||||||
| Class IR | 1.00 | 1.32 | ||||||||
| Class R | 1.50 | 1.84 | ||||||||
| Class R6 | 0.83 | 1.17 | ||||||||
| 4 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least February 26, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
| TOP TEN HOLDINGS AS OF 10/31/165,6 | ||||||||
| Holding | % of Net Assets | Line of Business | ||||||
| Fair Isaac Corp. | 0.9 | % | Software | |||||
| Curtiss-Wright Corp. | 0.8 | Aerospace & Defense | ||||||
| Medidata Solutions, Inc. | 0.8 | Health Care Technology | ||||||
| Hawaiian Holdings, Inc. | 0.8 | Airlines | ||||||
| Evercore Partners, Inc. Class A | 0.8 | Capital Markets | ||||||
| Masimo Corp. | 0.7 | Health Care Equipment & Supplies | ||||||
| InterDigital, Inc. | 0.8 | Communications Equipment | ||||||
| The Brink’s Co. | 0.7 | Commercial Services & Supplies | ||||||
| Horizon Pharma PLC | 0.7 | Pharmaceuticals | ||||||
| Silicon Laboratories, Inc. | 0.7 | Semiconductors & Semiconductor Equipment | ||||||
| 5 | The top 10 holdings may not be representative of the Fund’s future investments. |
| 6 | The Fund’s overall top ten holdings differ from the table above due to the exclusion of the Goldman Sachs Financial Square Government Fund (a short term investment fund), which represents 2.1% of the Fund’s net assets as of 10/31/16. |
27
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATIONS7 |
| As of October 31, 2016 |
| 7 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investments in the securities lending reinvestment vehicle represented 3.1% of the Fund’s net assets as of October 31, 2016. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
28
GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND
Performance Summary
October 31, 2016
The following graph shows the value, as of October 31, 2016, of a $1,000,000 investment made on June 25, 2007 (commencement of operations) in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Russell 2000® Growth Index (with dividends reinvested), is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class A, Class C, Class IR, Class R and Class R6 Shares will vary from Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund.
| Small Cap Growth Insights Fund’s Lifetime Performance |
Performance of a $1,000,000 Investment, including any applicable sales charges, with distributions reinvested, from June 25, 2007, through October 31, 2016.
| Average Annual Total Return through October 31, 2016 | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A (Commenced June 25, 2007) | ||||||||||||||
Excluding sales charges | -0.37% | 11.13% | N/A | 5.87% | ||||||||||
Including sales charges | -5.82% | 9.88% | N/A | 5.23% | ||||||||||
| ||||||||||||||
Class C (Commenced June 25, 2007) | ||||||||||||||
Excluding contingent deferred sales charges | -1.14% | 10.30% | N/A | 5.08% | ||||||||||
Including contingent deferred sales charges | -2.13% | 10.30% | N/A | 5.08% | ||||||||||
| ||||||||||||||
Institutional Class (Commenced June 25, 2007) | 0.01% | 11.57% | N/A | 6.29% | ||||||||||
| ||||||||||||||
Class IR (Commenced November 30, 2007) | -0.15% | 11.39% | N/A | 7.56% | ||||||||||
| ||||||||||||||
Class R (Commenced November 30, 2007) | -0.63% | 10.84% | N/A | 7.01% | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | 0.07% | N/A | N/A | -3.16% | ||||||||||
| ||||||||||||||
29
PORTFOLIO RESULTS
Goldman Sachs Small Cap Value Insights Fund
Investment Objective
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Small Cap Value Insights Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2016 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional, IR, R and R6 Shares generated average annual total returns, without sales charges, of 7.99%, 7.15%, 8.41%, 8.26%, 7.72% and 8.41%, respectively. These returns compare to the 8.79% average annual total return of the Fund’s benchmark, the Russell 2000® Value Index (with dividends reinvested) (the “Index”), during the same period. |
| Q | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | During the Reporting Period, the Fund underperformed the Index, largely due to two of our quantitative model’s six investment themes. More specifically, our Momentum and Management themes underperformed during the Reporting Period. |
| Q | What impact did the Fund’s investment themes have on performance during the Reporting Period? |
| A | In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit. |
| During the Reporting Period, our Momentum and Management investment themes detracted from relative performance. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. The Management theme seeks to assess the characteristics, policies and strategic decisions of company management. |
| Three of our other four investment themes — Valuation, Sentiment and Quality — added to the Fund’s relative returns. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. The Quality theme seeks to assess both firm and management quality. |
| The impact of our Profitability theme on relative results was rather neutral during the Reporting Period. The Profitability theme seeks to assess whether a company is earning more than its cost of capital. |
| Q | How did the Fund’s sector and industry allocations affect relative performance? |
| A | In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund tends to be similar to the Index in terms of its sector and industry allocations and style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance. |
30
PORTFOLIO RESULTS
| Q | Did stock selection help or hurt Fund performance during the Reporting Period? |
| A | We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the benchmark. |
| During the Reporting Period, security selection overall contributed positively to the Fund’s relative returns. Stock picks in the financials, industrials and energy sectors added to performance, while holdings in the consumer discretionary, consumer staples and materials sectors detracted from relative results. |
| Q | Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period? |
| A | The Fund benefited from overweight positions in Quad/ graphics, Talen Energy and Dupont Fabros Technology during the Reporting Period. We chose to overweight commercial printer Quad/graphics because of our positive views on Quality and Valuation. Our positive views on Momentum and Quality led to the Fund’s overweights in Talen Energy, an independent power producer, and Dupont Fabros Technology, which owns, operates and manages multi-tenant wholesale data centers. |
| Q | Which individual stock positions detracted most from the Fund’s results during the Reporting Period? |
| A | Detracting from the Fund’s relative performance were overweight positions in Alon USA Energy, an independent refiner of petroleum products; Delek U.S. Holdings, an energy company focused on petroleum refining, logistics and convenience store retailing; and Western Refining, a crude oil refiner. The Fund was overweight Alon USA Energy and Western Refining because of our positive views on Momentum and Valuation. We chose to overweight Delek U.S. Holdings due to our positive views on Momentum and Valuation. |
| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | During the Reporting Period, we used financial futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of financial futures contracts. The use of these derivatives did not have a material impact on Fund results during the Reporting Period. |
| Q | What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period? |
| A | At the end of the Reporting Period, the Fund was overweight the consumer discretionary, industrials and materials sectors relative to the Index. Compared to the Index, the Fund was underweight the utilities, consumer staples, financials and real estate sectors. (Effective after the market close on August 31, 2016, real estate was reclassified as an eleventh sector within the Global Industry Classification Standard (“GICS”).) The Fund was relatively neutral compared to the Index in the information technology, health care, telecommunication services and energy sectors at the end of the Reporting Period. |
31
FUND BASICS
Small Cap Value Insights Fund
as of October 31, 2016
| PERFORMANCE REVIEW | ||||||||||
| November 1, 2015–October 31, 2016 | Fund Total Return (based on NAV)1 | Russell 2000® Value Index2 | ||||||||
| Class A | 7.99 | % | 8.79 | % | ||||||
| Class C | 7.15 | 8.79 | ||||||||
| Institutional | 8.41 | 8.79 | ||||||||
| Class IR | 8.26 | 8.79 | ||||||||
| Class R | 7.72 | 8.79 | ||||||||
| Class R6 | 8.41 | 8.79 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Russell 2000® Value Index (with dividends reinvested) is an unmanaged index of common stock prices that measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
| STANDARDIZED TOTAL RETURN3 | ||||||||||||||||
| For the period ended 9/30/16 | One Year | Five Years | Since Inception | Inception Date | ||||||||||||
| Class A | 12.63 | % | 13.13 | % | 4.05 | % | 6/25/07 | |||||||||
| Class C | 17.20 | 13.57 | 3.89 | 6/25/07 | ||||||||||||
| Institutional | 19.62 | 14.88 | 5.12 | 6/25/07 | ||||||||||||
| Class IR | 19.45 | 14.70 | 7.12 | 11/30/07 | ||||||||||||
| Class R | 18.86 | 14.13 | 6.62 | 11/30/07 | ||||||||||||
| Class R6 | 19.62 | N/A | 8.82 | 7/31/15 | ||||||||||||
| 3 | The Standardized Total Returns are average annual or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
32
FUND BASICS
| EXPENSE RATIOS4 | ||||||||||
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Class A | 1.24 | % | 1.51 | % | ||||||
| Class C | 1.99 | 2.26 | ||||||||
| Institutional | 0.84 | 1.11 | ||||||||
| Class IR | 0.99 | 1.26 | ||||||||
| Class R | 1.49 | 1.76 | ||||||||
| Class R6 | 0.82 | 1.09 | ||||||||
| 4 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least February 26, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
| TOP TEN HOLDINGS AS OF 10/31/165,6 | ||||||||
| Holding | % of Net Assets | Line of Business | ||||||
| Prosperity Bancshares, Inc. | 1.0 | % | Banks | |||||
| Portland General Electric Co. | 1.0 | Electric Utilities | ||||||
| Southwest Gas Corp. | 0.9 | Gas Utilities | ||||||
| ONE Gas, Inc. | 0.9 | Gas Utilities | ||||||
| Umpqua Holdings Corp. | 0.9 | Banks | ||||||
| Hudson Pacific Properties, Inc. | 0.9 | Equity Real Estate Investment Trusts (REITs) | ||||||
| First Industrial Realty Trust, Inc. | 0.9 | Equity Real Estate Investment Trusts (REITs) | ||||||
| First Citizens BancShares, Inc. Class A | 0.9 | Banks | ||||||
| ALLETE, Inc. | 0.9 | Electric Utilities | ||||||
| Mack-Cali Realty Corp. | 0.9 | Equity Real Estate Investment Trusts (REITs) | ||||||
| 5 | The top 10 holdings may not be representative of the Fund’s future investments. |
| 6 | The Fund’s overall top ten holdings differ from the table above due to the exclusion of the Goldman Sachs Financial Square Government Fund (a short term investment fund), which represents 1.2% of the Fund’s net assets as of 10/31/16. |
33
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATIONS7 |
| As of October 31, 2016 |
| 7 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investments in the securities lending reinvestment vehicle represented 1.7% of the Fund’s net assets as of October 31, 2016. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
34
GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND
Performance Summary
October 31, 2016
The following graph shows the value, as of October 31, 2016, of a $10,000 investment made on June 25, 2007 (commencement of operations) in Class A Shares (with the maximum sales charge of 5.5%). For comparative purposes, the performance of the Fund’s benchmark, the Russell 2000® Value Index (with dividends reinvested), is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class C, Institutional, Class IR, Class R and Class R6 Shares will vary from Class A Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund.
| Small Cap Value Insights Fund’s Lifetime Performance |
Performance of a $10,000 Investment, including any applicable sales charges, with distributions reinvested, from June 25, 2007 through October 31, 2016.
| Average Annual Total Return through October 31, 2016 | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A (Commenced June 25, 2007) | ||||||||||||||
Excluding sales charges | 7.99% | 10.35% | N/A | 4.25% | ||||||||||
Including sales charges | 2.07% | 9.11% | N/A | 3.62% | ||||||||||
| ||||||||||||||
Class C (Commenced June 25, 2007) | ||||||||||||||
Excluding contingent deferred sales charges | 7.15% | 9.52% | N/A | 3.45% | ||||||||||
Including contingent deferred sales charges | 6.08% | 9.52% | N/A | 3.45% | ||||||||||
| ||||||||||||||
Institutional Class (Commenced June 25, 2007) | 8.41% | 10.79% | N/A | 4.68% | ||||||||||
| ||||||||||||||
Class IR (Commenced November 30, 2007) | 8.26% | 10.62% | N/A | 6.63% | ||||||||||
| ||||||||||||||
Class R (Commenced November 30, 2007) | 7.72% | 10.07% | N/A | 6.14% | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | 8.41% | N/A | N/A | 5.26% | ||||||||||
| ||||||||||||||
35
PORTFOLIO RESULTS
Goldman Sachs U.S. Equity Insights Fund
Investment Objective
The Fund seeks long-term growth of capital and dividend income.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs U.S. Equity Insights Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2016 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional, Service, IR, R and R6 Shares generated average annual total returns, without sales charges, of 2.25%, 1.48%, 2.66%, 2.15%, 2.48%, 1.99% and 2.66%, respectively. These returns compare to the 4.50% average annual total return of the Fund’s benchmark, the S&P 500® Index (with dividends reinvested) (the “Index”), during the same period. |
| Q | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | During the Reporting Period, the Fund underperformed the Index, largely due to three of our quantitative model’s six investment themes. More specifically, our Momentum, Profitability and Management themes underperformed during the Reporting Period. |
| Q | What impact did the Fund’s investment themes have on performance during the Reporting Period? |
| A | In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit. |
| During the Reporting Period, three of our six investment themes — Momentum, Profitability and Management —detracted from relative returns. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. The Profitability theme seeks to assess whether a company is earning more than its cost of capital. The Management theme seeks to assess the characteristics, policies and strategic decisions of company management. |
| Three of our other investment themes added to the Fund’s relative performance. Sentiment contributed most positively, followed by Valuation and Quality. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. The Quality theme seeks to assess both firm and management quality. |
| Q | How did the Fund’s sector and industry allocations affect relative performance? |
| A | In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund tends to be similar to the Index in terms of its sector and industry allocations and style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance. |
| Q | Did stock selection help or hurt Fund performance during the Reporting Period? |
| A | We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may |
36
PORTFOLIO RESULTS
lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the benchmark. |
| During the Reporting Period, security selection overall detracted from the Fund’s relative performance. Stock picks in the materials, information technology and consumer staples sectors hurt relative returns, while investments in the consumer discretionary, industrials and real estate sectors were advantageous. (Effective after the market close on August 31, 2016, real estate was reclassified as an eleventh sector within the Global Industry Classification Standard (“GICS”).) |
| Q | Which individual stock positions detracted most from the Fund’s results during the Reporting Period? |
| A | The Fund was hurt by overweight positions in McKesson, a pharmaceutical distributor and health care information technology company; Marathon Petroleum, a petroleum refiner; and Express Scripts Holdings, a pharmacy benefit management company. The Fund was overweight McKesson because of our positive views on Momentum, Sentiment and Quality. We adopted the overweight in Marathon Petroleum based on our positive views on Sentiment and Valuation. The Fund’s overweight in Express Scripts Holdings was due to our positive views on Quality and Momentum. |
| Q | Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period? |
| A | During the Reporting Period, the Fund benefited from underweight positions in pharmaceutical company Allergan and mass media and entertainment conglomerate The Walt Disney Company. The underweight in Allergan was based on our negative views on Momentum and Quality, while our negative views on Quality and Profitability led us to underweight The Walt Disney Company. An overweight in telecommunications company Verizon Communications, adopted as result of our positive views on Sentiment and Quality, also added to the Fund’s relative performance during the Reporting Period. |
| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | During the Reporting Period, we used financial futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of financial futures contracts. The use of these derivatives did not have material impact on Fund results during the Reporting Period. |
| Q | What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period? |
| A | At the end of the Reporting Period, the Fund was overweight the health care, industrials, materials and telecommunication services sectors relative to the Index. Compared to the Index, the Fund was underweight the consumer staples, consumer discretionary, information technology and energy sectors. The Fund was relatively neutral compared to the Index in the utilities, financials and real estate sectors at the end of the Reporting Period. |
37
FUND BASICS
U.S. Equity Insights Fund
as of October 31, 2016
| PERFORMANCE REVIEW | ||||||||||
| November 1, 2015–October 31, 2016 | Fund Total Return (based on NAV)1 | S&P 500® Index2 | ||||||||
| Class A | 2.25 | % | 4.50 | % | ||||||
| Class C | 1.48 | 4.50 | ||||||||
| Institutional | 2.66 | 4.50 | ||||||||
| Service | 2.15 | 4.50 | ||||||||
| Class IR | 2.48 | 4.50 | ||||||||
| Class R | 1.99 | 4.50 | ||||||||
| Class R6 | 2.66 | 4.50 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The S&P 500® Index (with dividends reinvested) is the Standard & Poor’s 500 Composite Index of 500 stocks, an unmanaged index of common stock prices. The figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
| STANDARDIZED TOTAL RETURNS3 | ||||||||||||||||||||
| For the period ended 9/30/16 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
| Class A | 5.99 | % | 14.42 | % | 5.00 | % | 7.97 | % | 5/24/91 | |||||||||||
| Class C | 10.25 | 14.86 | 4.81 | 4.86 | 8/15/97 | |||||||||||||||
| Institutional | 12.57 | 16.18 | 6.01 | 8.35 | 6/15/95 | |||||||||||||||
| Service | 12.01 | 15.61 | 5.49 | 6.89 | 6/07/96 | |||||||||||||||
| Class IR | 12.42 | 16.01 | N/A | 5.95 | 11/30/07 | |||||||||||||||
| Class R | 11.87 | 15.43 | N/A | 5.43 | 11/30/07 | |||||||||||||||
| Class R6 | 12.60 | N/A | N/A | 2.41 | 7/31/15 | |||||||||||||||
| 3 | The Standardized Total Returns are average annual or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
38
FUND BASICS
| EXPENSE RATIOS4 | ||||||||||
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Class A | 0.96 | % | 1.17 | % | ||||||
| Class C | 1.71 | 1.92 | ||||||||
| Institutional | 0.56 | 0.77 | ||||||||
| Service | 1.06 | 1.27 | ||||||||
| Class IR | 0.71 | 0.92 | ||||||||
| Class R | 1.21 | 1.42 | ||||||||
| Class R6 | 0.54 | 0.74 | ||||||||
| 4 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least February 26, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
| TOP TEN HOLDINGS AS OF 10/31/165 | ||||||||
| Holding | % of Net Assets | Line of Business | ||||||
| Apple, Inc. | 2.8 | % | Technology Hardware, Storage & Peripherals | |||||
| JPMorgan Chase & Co. | 2.4 | Banks | ||||||
| AT&T, Inc. | 2.1 | Diversified Telecommunication Services | ||||||
| Johnson & Johnson | 2.0 | Pharmaceuticals | ||||||
| Facebook, Inc. Class A | 1.7 | Internet Software & Services | ||||||
| UnitedHealth Group, Inc. | 1.6 | Health Care Providers & Services | ||||||
| Amazon.com, Inc. | 1.6 | Internet & Direct Marketing Retail | ||||||
| Wal-Mart Stores, Inc. | 1.6 | Food & Staples Retailing | ||||||
| Microsoft Corp. | 1.6 | Software | ||||||
| Oracle Corp. | 1.5 | Software | ||||||
| 5 | The top 10 holdings may not be representative of the Fund’s future investments. |
39
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of October 31, 2016 |
| 6 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
40
GOLDMAN SACHS U.S. EQUITY INSIGHTS FUND
Performance Summary
October 31, 2016
The following graph shows the value, as of October 31, 2016, of a $10,000 investment made on November 1, 2006 in Class A Shares (with the maximum sales charge of 5.5%). For comparative purposes, the performance of the Fund’s benchmark, the Standard and Poor’s 500 Index (with dividends reinvested) (“S&P 500® Index”), is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class C, Institutional, Service, Class IR, Class R and Class R6 Shares will vary from Class A Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund.
| U.S. Equity Insights Fund’s 10 Year Performance |
Performance of a $10,000 Investment, including any applicable sales charges, with distributions reinvested, from November 1, 2006 through October 31, 2016.
| Average Annual Total Return through October 31, 2016 | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A (Commenced May 24, 1991) | ||||||||||||||
Excluding sales charges | 2.25% | 12.98% | 5.11% | 8.12% | ||||||||||
Including sales charges | -3.35% | 11.71% | 4.52% | 7.88% | ||||||||||
| ||||||||||||||
Class C (Commenced August 15, 1997) | ||||||||||||||
Excluding contingent deferred sales charges | 1.48% | 12.13% | 4.33% | 4.76% | ||||||||||
Including contingent deferred sales charges | 0.46% | 12.13% | 4.33% | 4.76% | ||||||||||
| ||||||||||||||
Institutional Class (Commenced June 15, 1995) | 2.66% | 13.43% | 5.53% | 8.24% | ||||||||||
| ||||||||||||||
Service Class (Commenced June 7, 1996) | 2.15% | 12.86% | 5.01% | 6.78% | ||||||||||
| ||||||||||||||
Class IR (Commenced November 30, 2007) | 2.48% | 13.25% | N/A | 5.70% | ||||||||||
| ||||||||||||||
Class R (Commenced November 30, 2007) | 1.99% | 12.70% | N/A | 5.19% | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | 2.66% | N/A | N/A | 1.00% | ||||||||||
| ||||||||||||||
41
MARKET REVIEW
Index Definitions
The S&P 500® Index is the Standard & Poor’s 500 composite index of 500 stocks, an unmanaged index of common stock prices.
The Russell 1000® Growth Index is an unmanaged index of common stock prices that measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 1000® Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000® Index companies with lower price-to-book ratios and lower expected growth values.
The Russell 2000® Index is an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000 Index.
The Russell 2000® Growth Index is an unmanaged index of common stock prices that measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 2000® Value Index measures the performance of small-cap value segment of the U.S. equity universe. It includes those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. The Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set and that the represented companies continue to reflect value characteristics.
42
GOLDMAN SACHS LARGE CAP GROWTH INSIGHTS FUND
Schedule of Investments
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – 97.4% | ||||||||
| Aerospace & Defense – 2.0% | ||||||||
| 49,907 | L-3 Communications Holdings, Inc. | $ | 6,834,265 | |||||
| 22,980 | Northrop Grumman Corp. | 5,262,420 | ||||||
| 23,445 | Raytheon Co. | 3,202,821 | ||||||
| 9,667 | The Boeing Co. | 1,376,871 | ||||||
|
| |||||||
| 16,676,377 | ||||||||
|
| |||||||
| Airlines – 4.8% | ||||||||
| 111,079 | Alaska Air Group, Inc. | 8,022,125 | ||||||
| 236,328 | Delta Air Lines, Inc. | 9,871,421 | ||||||
| 489,462 | JetBlue Airways Corp.* | 8,555,796 | ||||||
| 189,831 | Southwest Airlines Co. | 7,602,731 | ||||||
| 112,843 | United Continental Holdings, Inc.* | 6,345,162 | ||||||
|
| |||||||
| 40,397,235 | ||||||||
|
| |||||||
| Auto Components – 2.1% | ||||||||
| 73,887 | Lear Corp. | 9,071,846 | ||||||
| 122,320 | Visteon Corp. | 8,637,015 | ||||||
|
| |||||||
| 17,708,861 | ||||||||
|
| |||||||
| Banks – 1.2% | ||||||||
| 335,241 | Citizens Financial Group, Inc. | 8,830,248 | ||||||
| 29,420 | Western Alliance Bancorp* | 1,099,131 | ||||||
|
| |||||||
| 9,929,379 | ||||||||
|
| |||||||
| Beverages – 0.6% | ||||||||
| 30,017 | PepsiCo., Inc. | 3,217,822 | ||||||
| 38,824 | The Coca-Cola Co. | 1,646,138 | ||||||
|
| |||||||
| 4,863,960 | ||||||||
|
| |||||||
| Biotechnology – 6.7% | ||||||||
| 229,816 | AbbVie, Inc. | 12,819,136 | ||||||
| 71,631 | Alexion Pharmaceuticals, Inc.* | 9,347,845 | ||||||
| 110,641 | Amgen, Inc. | 15,618,084 | ||||||
| 28,782 | Biogen, Inc.* | 8,064,141 | ||||||
| 76,137 | Celgene Corp.* | 7,779,679 | ||||||
| 34,553 | Vertex Pharmaceuticals, Inc.* | 2,621,191 | ||||||
|
| |||||||
| 56,250,076 | ||||||||
|
| |||||||
| Building Products – 0.1% | ||||||||
| 8,781 | Owens Corning | 428,337 | ||||||
|
| |||||||
| Capital Markets – 1.1% | ||||||||
| 4,206 | Ameriprise Financial, Inc. | 371,768 | ||||||
| 10,371 | MSCI, Inc. | 831,650 | ||||||
| 6,735 | Northern Trust Corp. | 487,749 | ||||||
| 110,812 | State Street Corp. | 7,780,111 | ||||||
|
| |||||||
| 9,471,278 | ||||||||
|
| |||||||
| Chemicals – 2.7% | ||||||||
| 62,815 | Air Products & Chemicals, Inc. | 8,380,777 | ||||||
| 186,374 | Axalta Coating Systems Ltd.* | 4,681,715 | ||||||
| 16,553 | Cabot Corp. | 863,074 | ||||||
| 77,136 | Celanese Corp. Series A | 5,624,757 | ||||||
| 11,749 | The Sherwin-Williams Co. | 2,876,860 | ||||||
|
| |||||||
| 22,427,183 | ||||||||
|
| |||||||
| Commercial Services & Supplies – 0.0% | ||||||||
| 9,438 | KAR Auction Services, Inc. | 401,870 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Communications Equipment* – 0.8% | ||||||||
| 23,109 | ARRIS International PLC | $ | 641,968 | |||||
| 41,468 | F5 Networks, Inc. | 5,731,292 | ||||||
|
| |||||||
| 6,373,260 | ||||||||
|
| |||||||
| Consumer Finance – 0.6% | ||||||||
| 258,461 | Ally Financial, Inc. | 4,670,390 | ||||||
|
| |||||||
| Containers & Packaging – 1.2% | ||||||||
| 144,782 | Crown Holdings, Inc.* | 7,854,423 | ||||||
| 156,485 | Graphic Packaging Holding Co. | 1,956,063 | ||||||
|
| |||||||
| 9,810,486 | ||||||||
|
| |||||||
| Diversified Telecommunication Services* – 0.1% | ||||||||
| 20,527 | Level 3 Communications, Inc. | 1,152,591 | ||||||
|
| |||||||
| Electric Utilities – 0.3% | ||||||||
| 86,248 | Great Plains Energy, Inc. | 2,452,893 | ||||||
|
| |||||||
| Electrical Equipment – 0.9% | ||||||||
| 171,066 | AMETEK, Inc. | 7,544,011 | ||||||
|
| |||||||
| Energy Equipment & Services – 0.1% | ||||||||
| 13,104 | Baker Hughes, Inc. | 725,961 | ||||||
| 22,151 | Oceaneering International, Inc. | 527,194 | ||||||
|
| |||||||
| 1,253,155 | ||||||||
|
| |||||||
| Equity Real Estate Investment Trusts (REITs) – 3.9% | ||||||||
| 106,369 | American Tower Corp. | 12,465,383 | ||||||
| 51,450 | Crown Castle International Corp. | 4,681,435 | ||||||
| 69,853 | CubeSmart | 1,821,068 | ||||||
| 23,813 | Equinix, Inc. | 8,507,909 | ||||||
| 35,937 | Forest City Realty Trust, Inc. Class A | 775,880 | ||||||
| 91,962 | Iron Mountain, Inc. | 3,101,878 | ||||||
| 17,157 | Lamar Advertising Co. Class A | 1,088,612 | ||||||
|
| |||||||
| 32,442,165 | ||||||||
|
| |||||||
| Food & Staples Retailing – 1.1% | ||||||||
| 56,112 | CVS Health Corp. | 4,719,019 | ||||||
| 32,501 | Wal-Mart Stores, Inc. | 2,275,720 | ||||||
| 30,123 | Walgreens Boots Alliance, Inc. | 2,492,076 | ||||||
|
| |||||||
| 9,486,815 | ||||||||
|
| |||||||
| Food Products – 2.3% | ||||||||
| 30,476 | ConAgra Foods, Inc. | 1,468,334 | ||||||
| 49,689 | Ingredion, Inc. | 6,517,706 | ||||||
| 73,933 | Kellogg Co. | 5,554,586 | ||||||
| 66,291 | Pilgrim’s Pride Corp. | 1,447,795 | ||||||
| 59,615 | Tyson Foods, Inc. Class A | 4,223,723 | ||||||
|
| |||||||
| 19,212,144 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies – 4.1% | ||||||||
| 170,486 | Baxter International, Inc. | 8,113,429 | ||||||
| 236,253 | Boston Scientific Corp.* | 5,197,566 | ||||||
| 120,498 | Danaher Corp. | 9,465,118 | ||||||
| 251,471 | Hologic, Inc.* | 9,055,471 | ||||||
| 40,782 | West Pharmaceutical Services, Inc. | 3,100,655 | ||||||
|
| |||||||
| 34,932,239 | ||||||||
|
| |||||||
| Health Care Providers & Services – 4.5% | ||||||||
| 10,823 | Aetna, Inc. | 1,161,849 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 43 |
GOLDMAN SACHS LARGE CAP GROWTH INSIGHTS FUND
Schedule of Investments (continued)
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Health Care Providers & Services – (continued) | ||||||||
| 159,286 | Express Scripts Holding Co.* | $ | 10,735,877 | |||||
| 2,164 | Henry Schein, Inc.* | 322,869 | ||||||
| 30,572 | McKesson Corp. | 3,887,841 | ||||||
| 119,161 | UnitedHealth Group, Inc. | 16,841,024 | ||||||
| 46,059 | WellCare Health Plans, Inc.* | 5,228,157 | ||||||
|
| |||||||
| 38,177,617 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure – 3.4% | ||||||||
| 109,021 | Aramark | 4,058,852 | ||||||
| 286,171 | International Game Technology PLC | 8,218,831 | ||||||
| 14,085 | McDonald’s Corp. | 1,585,548 | ||||||
| 56,806 | Vail Resorts, Inc. | 9,057,149 | ||||||
| 63,022 | Yum! Brands, Inc. | 5,437,538 | ||||||
|
| |||||||
| 28,357,918 | ||||||||
|
| |||||||
| Household Durables – 0.9% | ||||||||
| 216,019 | D.R. Horton, Inc. | 6,227,827 | ||||||
| 3,036 | Mohawk Industries, Inc.* | 559,535 | ||||||
| 3,145 | Whirlpool Corp. | 471,184 | ||||||
|
| |||||||
| 7,258,546 | ||||||||
|
| |||||||
| Household Products – 2.4% | ||||||||
| 130,223 | Colgate-Palmolive Co. | 9,292,713 | ||||||
| 95,506 | Kimberly-Clark Corp. | 10,926,842 | ||||||
|
| |||||||
| 20,219,555 | ||||||||
|
| |||||||
| Industrial Conglomerates – 0.4% | ||||||||
| 31,157 | Carlisle Cos., Inc. | 3,266,811 | ||||||
|
| |||||||
| Insurance – 0.3% | ||||||||
| 11,274 | Reinsurance Group of America, Inc. | 1,216,014 | ||||||
| 25,100 | The Progressive Corp. | 790,901 | ||||||
| 17,422 | XL Group Ltd. | 604,543 | ||||||
|
| |||||||
| 2,611,458 | ||||||||
|
| |||||||
| Internet & Direct Marketing Retail – 4.3% | ||||||||
| 32,364 | Amazon.com, Inc.*(a) | 25,561,734 | ||||||
| 5,751 | Expedia, Inc. | 743,202 | ||||||
| 28,180 | Netflix, Inc.* | 3,518,837 | ||||||
| 4,162 | The Priceline Group, Inc.* | 6,135,745 | ||||||
| 7,164 | TripAdvisor, Inc.* | 461,935 | ||||||
|
| |||||||
| 36,421,453 | ||||||||
|
| |||||||
| Internet Software & Services* – 9.1% | ||||||||
| 25,060 | Alphabet, Inc. Class A | 20,296,094 | ||||||
| 25,350 | Alphabet, Inc. Class C | 19,888,089 | ||||||
| 8,515 | CoStar Group, Inc. | 1,593,327 | ||||||
| 287,282 | eBay, Inc. | 8,190,410 | ||||||
| 190,060 | Facebook, Inc. Class A | 24,895,959 | ||||||
| 7,038 | LinkedIn Corp. Class A | 1,334,405 | ||||||
| 35,727 | Twitter, Inc.(b) | 641,299 | ||||||
|
| |||||||
| 76,839,583 | ||||||||
|
| |||||||
| IT Services – 3.1% | ||||||||
| 26,952 | Accenture PLC Class A | 3,132,901 | ||||||
| 32,712 | MasterCard, Inc. Class A | 3,500,838 | ||||||
| 91,482 | PayPal Holdings, Inc.* | 3,811,140 | ||||||
| 169,793 | Teradata Corp.* | 4,577,619 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| IT Services – (continued) | ||||||||
| 6,467 | Total System Services, Inc. | 322,574 | ||||||
| 101,030 | Vantiv, Inc. Class A* | 5,896,111 | ||||||
| 54,110 | Visa, Inc. Class A | 4,464,616 | ||||||
|
| |||||||
| 25,705,799 | ||||||||
|
| |||||||
| Leisure Products – 0.1% | ||||||||
| 20,437 | Brunswick Corp. | 889,010 | ||||||
|
| |||||||
| Life Sciences Tools & Services – 2.1% | ||||||||
| 130,315 | Agilent Technologies, Inc. | 5,677,825 | ||||||
| 48,598 | Bruker Corp. | 995,773 | ||||||
| 23,335 | Mettler-Toledo International, Inc.* | 9,429,207 | ||||||
| 9,715 | Thermo Fisher Scientific, Inc. | 1,428,396 | ||||||
|
| |||||||
| 17,531,201 | ||||||||
|
| |||||||
| Machinery – 0.9% | ||||||||
| 11,434 | Ingersoll-Rand PLC | 769,394 | ||||||
| 121,929 | PACCAR, Inc. | 6,696,341 | ||||||
|
| |||||||
| 7,465,735 | ||||||||
|
| |||||||
| Media – 2.6% | ||||||||
| 54,600 | Comcast Corp. Class A | 3,375,372 | ||||||
| 272,877 | Liberty Global PLC Series C* | 8,677,489 | ||||||
| 87,652 | The Interpublic Group of Cos., Inc. | 1,962,528 | ||||||
| 41,410 | The Walt Disney Co. | 3,838,293 | ||||||
| 166,371 | Twenty-First Century Fox, Inc. Class A | 4,370,566 | ||||||
|
| |||||||
| 22,224,248 | ||||||||
|
| |||||||
| Metals & Mining – 1.5% | ||||||||
| 57,019 | Reliance Steel & Aluminum Co. | 3,921,767 | ||||||
| 309,400 | Steel Dynamics, Inc. | 8,496,124 | ||||||
|
| |||||||
| 12,417,891 | ||||||||
|
| |||||||
| Mortgage Real Estate Investment Trusts (REITs) – 0.1% | ||||||||
| 110,492 | Annaly Capital Management, Inc. | 1,144,697 | ||||||
|
| |||||||
| Multi-Utilities – 1.7% | ||||||||
| 252,040 | CenterPoint Energy, Inc. | 5,746,512 | ||||||
| 352,909 | NiSource, Inc. | 8,208,663 | ||||||
|
| |||||||
| 13,955,175 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels – 0.3% | ||||||||
| 56,672 | Newfield Exploration Co.* | 2,300,317 | ||||||
| 16,273 | World Fuel Services Corp. | 654,988 | ||||||
|
| |||||||
| 2,955,305 | ||||||||
|
| |||||||
| Personal Products*(b) – 0.1% | ||||||||
| 8,666 | Herbalife Ltd. | 525,853 | ||||||
|
| |||||||
| Pharmaceuticals – 0.6% | ||||||||
| 43,409 | Bristol-Myers Squibb Co. | 2,209,952 | ||||||
| 7,958 | Johnson & Johnson | 923,048 | ||||||
| 46,947 | Mylan NV* | 1,713,566 | ||||||
|
| |||||||
| 4,846,566 | ||||||||
|
| |||||||
| Professional Services – 0.2% | ||||||||
| 19,463 | ManpowerGroup, Inc. | 1,494,758 | ||||||
|
| |||||||
| Real Estate Management & Development* – 0.0% | ||||||||
| 12,070 | CBRE Group, Inc. Class A | 310,923 | ||||||
|
| |||||||
| 44 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS LARGE CAP GROWTH INSIGHTS FUND
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Semiconductors & Semiconductor Equipment – 4.1% | ||||||||
| 354,166 | Applied Materials, Inc. | $ | 10,299,147 | |||||
| 122,399 | KLA-Tencor Corp. | 9,193,389 | ||||||
| 29,585 | Lam Research Corp. | 2,865,603 | ||||||
| 234,482 | Maxim Integrated Products, Inc. | 9,292,522 | ||||||
| 37,327 | Texas Instruments, Inc. | 2,644,618 | ||||||
|
| |||||||
| 34,295,279 | ||||||||
|
| |||||||
| Software – 6.8% | ||||||||
| 80,885 | Activision Blizzard, Inc. | 3,491,805 | ||||||
| 33,670 | Adobe Systems, Inc.* | 3,619,862 | ||||||
| 14,519 | Cadence Design Systems, Inc.* | 371,396 | ||||||
| 111,874 | Citrix Systems, Inc.* | 9,486,915 | ||||||
| 11,737 | Manhattan Associates, Inc.* | 594,362 | ||||||
| 480,544 | Microsoft Corp. | 28,794,197 | ||||||
| 280,542 | Nuance Communications, Inc.* | 3,933,199 | ||||||
| 174,981 | Oracle Corp. | 6,722,770 | ||||||
| 7,985 | Red Hat, Inc.* | 618,438 | ||||||
|
| |||||||
| 57,632,944 | ||||||||
|
| |||||||
| Specialty Retail – 2.7% | ||||||||
| 73,665 | Dick’s Sporting Goods, Inc. | 4,099,457 | ||||||
| 29,903 | Lowe’s Cos., Inc. | 1,993,035 | ||||||
| 33,285 | The Home Depot, Inc. | 4,061,103 | ||||||
| 170,172 | The TJX Cos., Inc. | 12,550,185 | ||||||
|
| |||||||
| 22,703,780 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals – 5.5% | ||||||||
| 377,643 | Apple, Inc. | 42,877,586 | ||||||
| 259,239 | HP, Inc. | 3,756,373 | ||||||
|
| |||||||
| 46,633,959 | ||||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods – 1.5% | ||||||||
| 33,849 | Michael Kors Holdings, Ltd.* | 1,718,852 | ||||||
| 218,280 | NIKE, Inc. Class B | 10,953,291 | ||||||
|
| |||||||
| 12,672,143 | ||||||||
|
| |||||||
| Tobacco – 0.3% | ||||||||
| 31,539 | Altria Group, Inc. | 2,085,359 | ||||||
| 5,612 | Philip Morris International, Inc. | 541,221 | ||||||
|
| |||||||
| 2,626,580 | ||||||||
|
| |||||||
| Trading Companies & Distributors – 1.0% | ||||||||
| 21,952 | AerCap Holdings NV* | 902,446 | ||||||
| 54,044 | Watsco, Inc. | 7,419,701 | ||||||
|
| |||||||
| 8,322,147 | ||||||||
|
| |||||||
| Wireless Telecommunication Services* – 0.2% | ||||||||
| 34,950 | T-Mobile US, Inc. | 1,738,064 | ||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $806,746,852) | $ | 819,129,703 | ||||||
|
| |||||||
| Shares | Distribution Rate | Value | ||||||
| Investment Company(c)(d) – 1.0% | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||||
7,929,150 | 0.300 | % | $ | 7,929,150 | ||||
| (Cost $7,929,150) | ||||||||
| ||||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | ||||||||
| (Cost $814,676,002) | $ | 827,058,853 | ||||||
| ||||||||
| Securities Lending Reinvestment Vehicle(c)(d) – 0.2% | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||||
1,885,575 | 0.300 | % | $ | 1,885,575 | ||||
| (Cost $1,885,575) | ||||||||
| ||||||||
| TOTAL INVESTMENTS – 98.6% | ||||||||
| (Cost $816,561,577) | $ | 828,944,428 | ||||||
| ||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 1.4% | 12,155,158 | |||||||
| ||||||||
| NET ASSETS – 100.0% | $ | 841,099,586 | ||||||
| ||||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(b) | All or a portion of security is on loan. | |
(c) | Represents an Affiliated Fund. | |
(d) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on October 31, 2016. | |
| ||
Investment Abbreviations: | ||
PLC | —Public Limited Company | |
| ||
| The accompanying notes are an integral part of these financial statements. | 45 |
GOLDMAN SACHS LARGE CAP GROWTH INSIGHTS FUND
Schedule of Investments (continued)
October 31, 2016
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At October 31, 2016, the Fund had the following futures contracts:
| Type | Number of Contracts Long (Short) | Expiration Date | Current Value | Unrealized Gain (Loss) | ||||||
S&P 500 E-Mini Index | 72 | December 2016 | $7,632,360 | $ | (7,866 | ) | ||||
| 46 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS LARGE CAP VALUE INSIGHTS FUND
Schedule of Investments
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – 98.1% | ||||||||
| Aerospace & Defense – 2.2% | ||||||||
| 32,898 | L-3 Communications Holdings, Inc. | $ | 4,505,052 | |||||
| 37,086 | Raytheon Co. | 5,066,319 | ||||||
|
| |||||||
| 9,571,371 | ||||||||
|
| |||||||
| Airlines – 4.3% | ||||||||
| 46,991 | Alaska Air Group, Inc. | 3,393,690 | ||||||
| 113,610 | Delta Air Lines, Inc. | 4,745,490 | ||||||
| 236,405 | JetBlue Airways Corp.* | 4,132,359 | ||||||
| 28,563 | Southwest Airlines Co. | 1,143,948 | ||||||
| 93,037 | United Continental Holdings, Inc.* | 5,231,471 | ||||||
|
| |||||||
| 18,646,958 | ||||||||
|
| |||||||
| Auto Components – 1.2% | ||||||||
| 33,795 | Lear Corp. | 4,149,350 | ||||||
| 13,832 | Visteon Corp. | 976,678 | ||||||
|
| |||||||
| 5,126,028 | ||||||||
|
| |||||||
| Automobiles – 0.0% | ||||||||
| 11,966 | Ford Motor Co. | 140,481 | ||||||
|
| |||||||
| Banks – 9.1% | ||||||||
| 176,134 | Bank of America Corp. | 2,906,211 | ||||||
| 34,465 | Citigroup, Inc. | 1,693,955 | ||||||
| 181,849 | Citizens Financial Group, Inc. | 4,789,903 | ||||||
| 75,164 | Fifth Third Bancorp | 1,635,569 | ||||||
| 14,955 | First Horizon National Corp. | 230,456 | ||||||
| 3,576 | First Republic Bank | 266,162 | ||||||
| 219,332 | JPMorgan Chase & Co. | 15,190,934 | ||||||
| 101,197 | SunTrust Banks, Inc. | 4,577,140 | ||||||
| 10,879 | The PNC Financial Services Group, Inc. | 1,040,032 | ||||||
| 130,688 | Wells Fargo & Co. | 6,012,955 | ||||||
| 31,649 | Western Alliance Bancorp* | 1,182,407 | ||||||
|
| |||||||
| 39,525,724 | ||||||||
|
| |||||||
| Biotechnology – 1.1% | ||||||||
| 21,680 | Alexion Pharmaceuticals, Inc.* | 2,829,240 | ||||||
| 12,555 | Amgen, Inc. | 1,772,264 | ||||||
|
| |||||||
| 4,601,504 | ||||||||
|
| |||||||
| Building Products – 0.4% | ||||||||
| 31,792 | Owens Corning | 1,550,814 | ||||||
|
| |||||||
| Capital Markets – 3.9% | ||||||||
| 20,825 | Ameriprise Financial, Inc. | 1,840,722 | ||||||
| 30,556 | E*TRADE Financial Corp.* | 860,457 | ||||||
| 64,668 | Morgan Stanley | 2,170,905 | ||||||
| 80,370 | State Street Corp. | 5,642,777 | ||||||
| 146,362 | The Bank of New York Mellon Corp. | 6,333,084 | ||||||
| 9,512 | The Charles Schwab Corp. | 301,530 | ||||||
|
| |||||||
| 17,149,475 | ||||||||
|
| |||||||
| Chemicals – 2.2% | ||||||||
| 29,560 | Air Products & Chemicals, Inc. | 3,943,895 | ||||||
| 21,675 | Axalta Coating Systems Ltd.* | 544,476 | ||||||
| 28,379 | Cabot Corp. | 1,479,681 | ||||||
| 40,118 | Celanese Corp. Series A | 2,925,405 | ||||||
| 10,661 | Eastman Chemical Co. | 766,632 | ||||||
|
| |||||||
| 9,660,089 | ||||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Communications Equipment – 0.5% | ||||||||
| 69,770 | Cisco Systems, Inc. | $ | 2,140,544 | |||||
|
| |||||||
| Construction & Engineering* – 0.3% | ||||||||
| 42,071 | AECOM | 1,171,677 | ||||||
|
| |||||||
| Consumer Finance – 1.6% | ||||||||
| 248,184 | Ally Financial, Inc. | 4,484,685 | ||||||
| 3,355 | Capital One Financial Corp. | 248,404 | ||||||
| 78,855 | Synchrony Financial | 2,254,465 | ||||||
|
| |||||||
| 6,987,554 | ||||||||
|
| |||||||
| Containers & Packaging – 0.7% | ||||||||
| 5,442 | Crown Holdings, Inc.* | 295,229 | ||||||
| 63,037 | Graphic Packaging Holding Co. | 787,962 | ||||||
| 40,858 | International Paper Co. | 1,839,836 | ||||||
|
| |||||||
| 2,923,027 | ||||||||
|
| |||||||
| Diversified Financial Services – 2.0% | ||||||||
| 50,520 | Berkshire Hathaway, Inc. Class B* | 7,290,036 | ||||||
| 46,364 | Voya Financial, Inc. | 1,416,420 | ||||||
|
| |||||||
| 8,706,456 | ||||||||
|
| |||||||
| Diversified Telecommunication Services – 4.6% | ||||||||
| 357,695 | AT&T, Inc.(a) | 13,159,599 | ||||||
| 71,014 | Level 3 Communications, Inc.* | 3,987,436 | ||||||
| 55,591 | Verizon Communications, Inc. | 2,673,927 | ||||||
|
| |||||||
| 19,820,962 | ||||||||
|
| |||||||
| Electric Utilities – 2.6% | ||||||||
| 18,817 | Edison International | 1,382,673 | ||||||
| 166,340 | Great Plains Energy, Inc. | 4,730,710 | ||||||
| 57,531 | PG&E Corp. | 3,573,826 | ||||||
| 40,879 | Xcel Energy, Inc. | 1,698,522 | ||||||
|
| |||||||
| 11,385,731 | ||||||||
|
| |||||||
| Electrical Equipment – 1.4% | ||||||||
| 98,743 | AMETEK, Inc. | 4,354,566 | ||||||
| 29,722 | Eaton Corp. PLC | 1,895,372 | ||||||
|
| |||||||
| 6,249,938 | ||||||||
|
| |||||||
| Energy Equipment & Services – 3.4% | ||||||||
| 101,913 | Baker Hughes, Inc. | 5,645,980 | ||||||
| 120,627 | FMC Technologies, Inc.* | 3,892,633 | ||||||
| 102,397 | Oceaneering International, Inc. | 2,437,049 | ||||||
| 37,220 | Schlumberger Ltd. | 2,911,721 | ||||||
|
| |||||||
| 14,887,383 | ||||||||
|
| |||||||
| Equity Real Estate Investment Trusts (REITs) – 3.3% | ||||||||
| 140,967 | American Homes 4 Rent Class A | 2,975,813 | ||||||
| 23,331 | American Tower Corp. | 2,734,160 | ||||||
| 40,220 | Crown Castle International Corp. | 3,659,618 | ||||||
| 43,528 | CubeSmart | 1,134,775 | ||||||
| 1,373 | Equinix, Inc. | 490,545 | ||||||
| 164,293 | Forest City Realty Trust, Inc. Class A | 3,547,086 | ||||||
|
| |||||||
| 14,541,997 | ||||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 47 |
GOLDMAN SACHS LARGE CAP VALUE INSIGHTS FUND
Schedule of Investments (continued)
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Food & Staples Retailing – 2.9% | ||||||||
| 123,895 | Wal-Mart Stores, Inc. | $ | 8,675,128 | |||||
| 49,536 | Walgreens Boots Alliance, Inc. | 4,098,113 | ||||||
|
| |||||||
| 12,773,241 | ||||||||
|
| |||||||
| Food Products – 0.7% | ||||||||
| 35,700 | Archer-Daniels-Midland Co. | 1,555,449 | ||||||
| 14,621 | Bunge Ltd. | 906,648 | ||||||
| 3,570 | Ingredion, Inc. | 468,277 | ||||||
|
| |||||||
| 2,930,374 | ||||||||
|
| |||||||
| Gas Utilities – 0.5% | ||||||||
| 48,251 | UGI Corp. | 2,233,539 | ||||||
|
| |||||||
| Health Care Equipment & Supplies – 4.4% | ||||||||
| 70,553 | Baxter International, Inc. | 3,357,617 | ||||||
| 73,615 | Danaher Corp. | 5,782,458 | ||||||
| 66,652 | Hologic, Inc.* | 2,400,139 | ||||||
| 91,897 | Medtronic PLC | 7,537,392 | ||||||
|
| |||||||
| 19,077,606 | ||||||||
|
| |||||||
| Health Care Providers & Services – 2.1% | ||||||||
| 4,773 | Anthem, Inc. | 581,638 | ||||||
| 40,963 | Express Scripts Holding Co.* | 2,760,906 | ||||||
| 6,529 | McKesson Corp. | 830,293 | ||||||
| 19,821 | Quest Diagnostics, Inc. | 1,614,222 | ||||||
| 9,946 | UnitedHealth Group, Inc. | 1,405,668 | ||||||
| 17,416 | WellCare Health Plans, Inc.* | 1,976,890 | ||||||
|
| |||||||
| 9,169,617 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure – 1.1% | ||||||||
| 8,864 | Aramark | 330,007 | ||||||
| 142,079 | International Game Technology PLC | 4,080,509 | ||||||
| 2,331 | Vail Resorts, Inc. | 371,654 | ||||||
|
| |||||||
| 4,782,170 | ||||||||
|
| |||||||
| Household Durables – 0.5% | ||||||||
| 70,526 | D.R. Horton, Inc. | 2,033,265 | ||||||
|
| |||||||
| Household Products – 2.3% | ||||||||
| 33,822 | Colgate-Palmolive Co. | 2,413,538 | ||||||
| 21,154 | Kimberly-Clark Corp. | 2,420,229 | ||||||
| 59,746 | The Procter & Gamble Co. | 5,185,953 | ||||||
|
| |||||||
| 10,019,720 | ||||||||
|
| |||||||
| Independent Power and Renewable Electricity Producers – 1.0% | ||||||||
| 350,740 | AES Corp. | 4,128,210 | ||||||
|
| |||||||
| Industrial Conglomerates – 1.5% | ||||||||
| 17,239 | Carlisle Cos., Inc. | 1,807,509 | ||||||
| 168,452 | General Electric Co. | 4,901,953 | ||||||
|
| |||||||
| 6,709,462 | ||||||||
|
| |||||||
| Insurance – 4.1% | ||||||||
| 81,618 | Allied World Assurance Co. Holdings AG | 3,507,942 | ||||||
| 66,361 | Lincoln National Corp. | 3,257,661 | ||||||
| 41,360 | Reinsurance Group of America, Inc. | 4,461,089 | ||||||
| 66,384 | The Progressive Corp. | 2,091,760 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Insurance – (continued) | ||||||||
| 128,501 | XL Group Ltd. | $ | 4,458,985 | |||||
|
| |||||||
| 17,777,437 | ||||||||
|
| |||||||
| Internet Software & Services* – 0.5% | ||||||||
| 27,141 | eBay, Inc. | 773,790 | ||||||
| 31,012 | Yahoo!, Inc. | 1,288,549 | ||||||
|
| |||||||
| 2,062,339 | ||||||||
|
| |||||||
| Life Sciences Tools & Services – 1.2% | ||||||||
| 12,363 | Agilent Technologies, Inc. | 538,656 | ||||||
| 3,659 | Mettler-Toledo International, Inc.* | 1,478,528 | ||||||
| 20,395 | Thermo Fisher Scientific, Inc. | 2,998,677 | ||||||
|
| |||||||
| 5,015,861 | ||||||||
|
| |||||||
| Machinery – 1.1% | ||||||||
| 90,397 | PACCAR, Inc. | 4,964,603 | ||||||
|
| |||||||
| Media – 1.6% | ||||||||
| 136,736 | Liberty Global PLC Series C* | 4,348,205 | ||||||
| 98,786 | Twenty-First Century Fox, Inc. Class A | 2,595,108 | ||||||
|
| |||||||
| 6,943,313 | ||||||||
|
| |||||||
| Metals & Mining – 3.1% | ||||||||
| 19,279 | Newmont Mining Corp. | 714,094 | ||||||
| 72,664 | Nucor Corp. | 3,549,636 | ||||||
| 61,500 | Reliance Steel & Aluminum Co. | 4,229,970 | ||||||
| 174,015 | Steel Dynamics, Inc. | 4,778,452 | ||||||
|
| |||||||
| 13,272,152 | ||||||||
|
| |||||||
| Mortgage Real Estate Investment Trusts (REITs) – 1.1% | ||||||||
| 446,487 | Annaly Capital Management, Inc. | 4,625,605 | ||||||
|
| |||||||
| Multi-Utilities – 2.6% | ||||||||
| 205,751 | CenterPoint Energy, Inc. | 4,691,123 | ||||||
| 42,431 | MDU Resources Group, Inc. | 1,112,116 | ||||||
| 208,904 | NiSource, Inc. | 4,859,107 | ||||||
| 5,236 | Sempra Energy | 560,776 | ||||||
|
| |||||||
| 11,223,122 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels – 7.7% | ||||||||
| 15,733 | Cabot Oil & Gas Corp. | 328,505 | ||||||
| 37,129 | Chevron Corp. | 3,889,263 | ||||||
| 9,141 | Cimarex Energy Co. | 1,180,377 | ||||||
| 5,573 | Concho Resources, Inc.* | 707,436 | ||||||
| 3,915 | ConocoPhillips | 170,107 | ||||||
| 12,521 | Devon Energy Corp. | 474,421 | ||||||
| 11,144 | Diamondback Energy, Inc.* | 1,017,336 | ||||||
| 24,431 | Energen Corp.* | 1,224,726 | ||||||
| 127,856 | Exxon Mobil Corp. | 10,652,962 | ||||||
| 9,649 | Kinder Morgan, Inc. | 197,129 | ||||||
| 32,142 | Marathon Petroleum Corp. | 1,401,070 | ||||||
| 66,204 | Newfield Exploration Co.* | 2,687,220 | ||||||
| 77,179 | Noble Energy, Inc. | 2,660,360 | ||||||
| 7,398 | Phillips 66 | 600,348 | ||||||
| 22,222 | Pioneer Natural Resources Co. | 3,978,182 | ||||||
| 16,120 | Range Resources Corp. | 544,695 | ||||||
| 46,108 | World Fuel Services Corp. | 1,855,847 | ||||||
|
| |||||||
| 33,569,984 | ||||||||
|
| |||||||
| 48 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS LARGE CAP VALUE INSIGHTS FUND
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Pharmaceuticals – 4.8% | ||||||||
| 82,451 | Johnson & Johnson | $ | 9,563,492 | |||||
| 6,332 | Mallinckrodt PLC* | 375,234 | ||||||
| 120,839 | Merck & Co., Inc. | 7,095,666 | ||||||
| 18,762 | Mylan NV* | 684,813 | ||||||
| 102,515 | Pfizer, Inc. | 3,250,751 | ||||||
|
| |||||||
| 20,969,956 | ||||||||
|
| |||||||
| Professional Services – 0.6% | ||||||||
| 36,467 | ManpowerGroup, Inc. | 2,800,666 | ||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment – 3.8% | ||||||||
| 170,172 | Applied Materials, Inc. | 4,948,602 | ||||||
| 65,393 | Intel Corp. | 2,280,254 | ||||||
| 33,920 | KLA-Tencor Corp. | 2,547,731 | ||||||
| 1,921 | Lam Research Corp. | 186,068 | ||||||
| 105,020 | Maxim Integrated Products, Inc. | 4,161,943 | ||||||
| 95,402 | Teradyne, Inc. | 2,221,912 | ||||||
|
| |||||||
| 16,346,510 | ||||||||
|
| |||||||
| Software – 2.4% | ||||||||
| 9,999 | Citrix Systems, Inc.* | 847,915 | ||||||
| 99,758 | Nuance Communications, Inc.* | 1,398,607 | ||||||
| 214,850 | Oracle Corp. | 8,254,537 | ||||||
|
| |||||||
| 10,501,059 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals – 1.0% | ||||||||
| 293,149 | HP, Inc. | 4,247,729 | ||||||
|
| |||||||
| Tobacco – 0.4% | ||||||||
| 16,057 | Philip Morris International, Inc. | 1,548,537 | ||||||
|
| |||||||
| Trading Companies & Distributors* – 0.1% | ||||||||
| 11,550 | AerCap Holdings NV | 474,820 | ||||||
|
| |||||||
| Wireless Telecommunication Services* – 0.2% | ||||||||
| 13,727 | T-Mobile US, Inc. | 682,644 | ||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $428,814,202) | $ | 425,671,254 | ||||||
|
| |||||||
| Shares | Distribution Rate | Value | ||||||
| Investment Companies(b)(c) – 0.8% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
| 3,571,370 | 0.300% | $ | 3,571,370 | |||||
| (Cost $3,571,370) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS – 98.9% | ||||||||
| (Cost $432,385,572) | $ | 429,242,624 | ||||||
|
| |||||||
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 1.1% | 4,815,447 | ||||||
|
| |||||||
| NET ASSETS – 100.0% | $ | 434,058,071 | ||||||
|
| |||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(b) | Represents an Affiliated Fund. | |
(c) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on October 31, 2016. | |
| ||
Investment Abbreviations: | ||
PLC | —Public Limited Company | |
| ||
| The accompanying notes are an integral part of these financial statements. | 49 |
GOLDMAN SACHS LARGE CAP VALUE INSIGHTS FUND
Schedule of Investments (continued)
October 31, 2016
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At October 31, 2016, the Fund had the following futures contracts:
| Type | Number of Contracts Long (Short) | Expiration Date | Current Value | Unrealized Gain (Loss) | ||||||||
S&P 500 E-Mini Index | 69 | December 2016 | $ | 7,314,345 | $ | (137,778 | ) | |||||
| 50 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND
Schedule of Investments
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – 97.4% | ||||||||
| Aerospace & Defense – 1.7% | ||||||||
| 18,028 | Curtiss-Wright Corp. | $ | 1,615,669 | |||||
| 38,507 | DigitalGlobe, Inc.* | 966,526 | ||||||
| 19,370 | Esterline Technologies Corp.* | 1,422,726 | ||||||
|
| |||||||
| 4,004,921 | ||||||||
|
| |||||||
| Airlines – 1.7% | ||||||||
| 5,707 | Allegiant Travel Co. | 786,995 | ||||||
| 35,025 | Hawaiian Holdings, Inc.* | 1,577,001 | ||||||
| 56,098 | SkyWest, Inc. | 1,691,355 | ||||||
|
| |||||||
| 4,055,351 | ||||||||
|
| |||||||
| Auto Components – 2.7% | ||||||||
| 24,497 | Cooper Tire & Rubber Co. | 900,265 | ||||||
| 15,375 | Cooper-Standard Holding, Inc.* | 1,403,276 | ||||||
| 102,215 | Dana, Inc. | 1,582,288 | ||||||
| 12,711 | Drew Industries, Inc. | 1,138,270 | ||||||
| 40,267 | Modine Manufacturing Co.* | 440,924 | ||||||
| 43,501 | Superior Industries International, Inc. | 1,065,774 | ||||||
|
| |||||||
| 6,530,797 | ||||||||
|
| |||||||
| Banks – 6.5% | ||||||||
| 5,389 | 1st Source Corp. | 186,244 | ||||||
| 50,939 | Berkshire Hills Bancorp, Inc. | 1,505,247 | ||||||
| 43,030 | Central Pacific Financial Corp. | 1,102,859 | ||||||
| 46,259 | CVB Financial Corp. | 776,226 | ||||||
| 19,971 | F.N.B. Corp. | 261,021 | ||||||
| 37,924 | FCB Financial Holdings, Inc. Class A* | 1,414,565 | ||||||
| 4,540 | First Busey Corp. | 104,919 | ||||||
| 1,694 | First Citizens BancShares, Inc. Class A | 492,954 | ||||||
| 37,879 | First Midwest Bancorp, Inc. | 731,444 | ||||||
| 17,021 | Glacier Bancorp, Inc. | 481,013 | ||||||
| 18,224 | Hanmi Financial Corp. | 455,600 | ||||||
| 4,057 | Hilltop Holdings, Inc.* | 100,208 | ||||||
| 20,261 | International Bancshares Corp. | 625,052 | ||||||
| 69,283 | OFG Bancorp | 737,864 | ||||||
| 30,186 | Prosperity Bancshares, Inc. | 1,674,417 | ||||||
| 11,148 | Renasant Corp. | 376,134 | ||||||
| 65,024 | Sterling Bancorp | 1,170,432 | ||||||
| 4,671 | UMB Financial Corp. | 289,836 | ||||||
| 111,410 | Umpqua Holdings Corp. | 1,702,345 | ||||||
| 64,284 | United Community Banks, Inc. | 1,386,606 | ||||||
|
| |||||||
| 15,574,986 | ||||||||
|
| |||||||
| Beverages*(a) – 0.2% | ||||||||
| 2,903 | The Boston Beer Co., Inc. Class A | 450,691 | ||||||
|
| |||||||
| Biotechnology – 5.7% | ||||||||
| 9,174 | Acceleron Pharma, Inc.* | 257,147 | ||||||
| 37,702 | Achillion Pharmaceuticals, Inc.* | 236,769 | ||||||
| 39,147 | Acorda Therapeutics, Inc.* | 692,902 | ||||||
| 22,816 | Array BioPharma, Inc.* | 130,051 | ||||||
| 8,556 | Blueprint Medicines Corp.* | 256,509 | ||||||
| 16,909 | Emergent BioSolutions, Inc.* | 451,808 | ||||||
| 117,281 | Exelixis, Inc.* | 1,242,006 | ||||||
| 30,589 | FibroGen, Inc.* | 506,248 | ||||||
| 5,419 | Five Prime Therapeutics, Inc.* | 262,984 | ||||||
| 47,211 | Genomic Health, Inc.* | 1,407,360 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Biotechnology – (continued) | ||||||||
| 41,959 | Insys Therapeutics, Inc.*(a) | 453,577 | ||||||
| 106,152 | Ironwood Pharmaceuticals, Inc.* | 1,355,561 | ||||||
| 13,938 | Lexicon Pharmaceuticals, Inc.*(a) | 206,701 | ||||||
| 29,960 | MiMedx Group, Inc.*(a) | 266,944 | ||||||
| 8,514 | Momenta Pharmaceuticals, Inc.* | 94,931 | ||||||
| 64,861 | Myriad Genetics, Inc.*(a) | 1,278,410 | ||||||
| 14,982 | Ophthotech Corp.* | 536,655 | ||||||
| 187,239 | PDL BioPharma, Inc. | 602,910 | ||||||
| 5,807 | Prothena Corp. PLC*(a) | 277,691 | ||||||
| 12,022 | Puma Biotechnology, Inc.* | 460,443 | ||||||
| 28,047 | Repligen Corp.* | 801,303 | ||||||
| 15,646 | Retrophin, Inc.* | 294,927 | ||||||
| 5,539 | Sarepta Therapeutics, Inc.* | 217,350 | ||||||
| 1,538 | TESARO, Inc.* | 185,913 | ||||||
| 24,310 | Vanda Pharmaceuticals, Inc.* | 361,003 | ||||||
| 36,866 | Xencor, Inc.* | 784,877 | ||||||
|
| |||||||
| 13,622,980 | ||||||||
|
| |||||||
| Building Products – 1.2% | ||||||||
| 35,681 | Continental Building Products, Inc.* | 729,677 | ||||||
| 5,166 | Insteel Industries, Inc. | 138,965 | ||||||
| 50,136 | NCI Building Systems, Inc.* | 721,958 | ||||||
| 1,522 | Trex Co., Inc.* | 81,899 | ||||||
| 12,838 | Universal Forest Products, Inc. | 1,103,940 | ||||||
|
| |||||||
| 2,776,439 | ||||||||
|
| |||||||
| Capital Markets – 1.5% | ||||||||
| 29,959 | Evercore Partners, Inc. Class A | 1,610,296 | ||||||
| 8,554 | GAMCO Investors, Inc. Class A | 243,019 | ||||||
| 29,334 | Piper Jaffray Cos.* | 1,658,838 | ||||||
|
| |||||||
| 3,512,153 | ||||||||
|
| |||||||
| Chemicals – 3.4% | ||||||||
| 2,231 | Chase Corp. | 152,489 | ||||||
| 47,941 | GCP Applied Technologies, Inc.* | 1,239,275 | ||||||
| 29,222 | H.B. Fuller Co. | 1,229,369 | ||||||
| 12,127 | Innophos Holdings, Inc. | 555,902 | ||||||
| 5,522 | Koppers Holdings, Inc.* | 180,845 | ||||||
| 22,979 | Minerals Technologies, Inc. | 1,544,189 | ||||||
| 23,083 | PolyOne Corp. | 674,716 | ||||||
| 7,819 | Stepan Co. | 555,384 | ||||||
| 32,628 | The Chemours Co. | 536,078 | ||||||
| 27,460 | Trinseo SA | 1,440,277 | ||||||
|
| |||||||
| 8,108,524 | ||||||||
|
| |||||||
| Commercial Services & Supplies – 3.6% | ||||||||
| 15,801 | ACCO Brands Corp.* | 175,391 | ||||||
| 42,978 | Brady Corp. Class A | 1,422,572 | ||||||
| 9,034 | Essendant, Inc. | 138,672 | ||||||
| 21,561 | Herman Miller, Inc. | 599,396 | ||||||
| 14,033 | HNI Corp. | 570,582 | ||||||
| 6,388 | Interface, Inc. | 101,250 | ||||||
| 54,676 | Kimball International, Inc. Class B | 683,450 | ||||||
| 46,730 | Knoll, Inc. | 1,011,237 | ||||||
| 43,678 | McGrath RentCorp | 1,314,708 | ||||||
| 40,313 | Quad Graphics, Inc. | 957,837 | ||||||
| 10,018 | Steelcase, Inc. Class A | 133,740 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 51 |
GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND
Schedule of Investments (continued)
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Commercial Services & Supplies – (continued) | ||||||||
| 35,155 | The Brink’s Co. | $ | 1,390,380 | |||||
| 8,417 | West Corp. | 165,983 | ||||||
|
| |||||||
| 8,665,198 | ||||||||
|
| |||||||
| Communications Equipment – 2.2% | ||||||||
| 539 | Calix, Inc.* | 3,369 | ||||||
| 39,937 | Finisar Corp.* | 1,093,475 | ||||||
| 21,214 | InterDigital, Inc. | 1,498,769 | ||||||
| 17,942 | Ixia* | 214,407 | ||||||
| 21,475 | NETGEAR, Inc.* | 1,084,487 | ||||||
| 26,886 | ShoreTel, Inc.* | 178,792 | ||||||
| 169,921 | Viavi Solutions, Inc.* | 1,209,838 | ||||||
|
| |||||||
| 5,283,137 | ||||||||
|
| |||||||
| Construction & Engineering – 1.2% | ||||||||
| 53,434 | Aegion Corp.* | 989,063 | ||||||
| 11,662 | Comfort Systems USA, Inc. | 336,449 | ||||||
| 23,472 | EMCOR Group, Inc. | 1,419,117 | ||||||
| 3,798 | Tutor Perini Corp.* | 72,352 | ||||||
|
| |||||||
| 2,816,981 | ||||||||
|
| |||||||
| Consumer Finance – 0.3% | ||||||||
| 33,227 | EZCORP, Inc. Class A* | 323,963 | ||||||
| 9,067 | Nelnet, Inc. Class A | 355,245 | ||||||
|
| |||||||
| 679,208 | ||||||||
|
| |||||||
| Containers & Packaging – 0.2% | ||||||||
| 11,964 | Greif, Inc. Class A | 560,633 | ||||||
|
| |||||||
| Diversified Consumer Services – 2.1% | ||||||||
| 23,209 | Bridgepoint Education, Inc.* | 156,893 | ||||||
| 4,127 | Bright Horizons Family Solutions, Inc.* | 276,137 | ||||||
| 8,027 | Capella Education Co. | 586,774 | ||||||
| 91,224 | Houghton Mifflin Harcourt Co.* | 1,153,983 | ||||||
| 56,127 | K12, Inc.* | 608,417 | ||||||
| 82,320 | Regis Corp.* | 1,043,818 | ||||||
| 31,920 | Sotheby’s(a) | 1,145,290 | ||||||
|
| |||||||
| 4,971,312 | ||||||||
|
| |||||||
| Diversified Telecommunication Services – 0.5% | ||||||||
| 20,276 | Cogent Communications Holdings, Inc. | 748,184 | ||||||
| 25,687 | General Communication, Inc. Class A* | 406,882 | ||||||
|
| |||||||
| 1,155,066 | ||||||||
|
| |||||||
| Electric Utilities – 1.3% | ||||||||
| 17,440 | ALLETE, Inc. | 1,068,897 | ||||||
| 44,759 | Portland General Electric Co. | 1,953,283 | ||||||
|
| |||||||
| 3,022,180 | ||||||||
|
| |||||||
| Electrical Equipment – 1.5% | ||||||||
| 19,159 | AZZ, Inc.(b) | 1,020,217 | ||||||
| 57,625 | Babcock & Wilcox Enterprises, Inc.* | 907,018 | ||||||
| 5,415 | EnerSys | 352,679 | ||||||
| 5,082 | Generac Holdings, Inc.* | 193,573 | ||||||
| 49,506 | General Cable Corp. | 693,084 | ||||||
| 34,160 | LSI Industries, Inc. | 293,776 | ||||||
|
| |||||||
| 3,460,347 | ||||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Electronic Equipment, Instruments & Components – 3.1% | ||||||||
| 48,195 | AVX Corp. | 675,694 | ||||||
| 12,898 | Belden, Inc. | 835,919 | ||||||
| 53,821 | Benchmark Electronics, Inc.* | 1,353,598 | ||||||
| 23,511 | II-VI, Inc.* | 653,606 | ||||||
| 20,676 | Insight Enterprises, Inc.* | 595,262 | ||||||
| 32,001 | Kimball Electronics, Inc.* | 444,814 | ||||||
| 8,876 | Methode Electronics, Inc. | 276,931 | ||||||
| 21,680 | Rogers Corp.* | 1,180,042 | ||||||
| 89,944 | TTM Technologies, Inc.* | 1,182,764 | ||||||
| 19,771 | Vishay Intertechnology, Inc. | 278,771 | ||||||
|
| |||||||
| 7,477,401 | ||||||||
|
| |||||||
| Energy Equipment & Services – 0.8% | ||||||||
| 11,243 | Archrock, Inc. | 130,419 | ||||||
| 109,156 | McDermott International, Inc.* | 561,062 | ||||||
| 8,592 | Oil States International, Inc.* | 251,316 | ||||||
| 85,965 | Pioneer Energy Services Corp.* | 305,176 | ||||||
| 31,774 | Unit Corp.* | 544,288 | ||||||
|
| |||||||
| 1,792,261 | ||||||||
|
| |||||||
| Equity Real Estate Investment Trusts (REITs) – 5.0% | ||||||||
| 8,221 | CareTrust REIT, Inc. | 115,752 | ||||||
| 20,879 | Colony Starwood Homes | 605,700 | ||||||
| 13,089 | CoreSite Realty Corp. | 965,183 | ||||||
| 7,463 | DuPont Fabros Technology, Inc. | 304,565 | ||||||
| 60,970 | First Industrial Realty Trust, Inc. | 1,610,218 | ||||||
| 52,568 | Hudson Pacific Properties, Inc. | 1,767,336 | ||||||
| 49,449 | Mack-Cali Realty Corp. | 1,269,850 | ||||||
| 7,802 | Monmouth Real Estate Investment Corp. | 106,653 | ||||||
| 110,404 | New Senior Investment Group, Inc. | 1,150,410 | ||||||
| 47,924 | Pennsylvania Real Estate Investment Trust | 934,997 | ||||||
| 11,595 | PS Business Parks, Inc. | 1,273,015 | ||||||
| 32,540 | QTS Realty Trust, Inc. Class A | 1,495,538 | ||||||
| 30,858 | Summit Hotel Properties, Inc. | 400,846 | ||||||
|
| |||||||
| 12,000,063 | ||||||||
|
| |||||||
| Food Products – 1.1% | ||||||||
| 22,211 | Calavo Growers, Inc. | 1,313,780 | ||||||
| 16,550 | Darling Ingredients, Inc.* | 225,080 | ||||||
| 10,768 | Fresh Del Monte Produce, Inc. | 649,849 | ||||||
| 4,251 | John B. Sanfilippo & Son, Inc. | 215,441 | ||||||
| 1,614 | Lancaster Colony Corp. | 210,869 | ||||||
|
| |||||||
| 2,615,019 | ||||||||
|
| |||||||
| Gas Utilities – 1.4% | ||||||||
| 4,544 | Northwest Natural Gas Co. | 267,187 | ||||||
| 18,005 | ONE Gas, Inc. | 1,103,346 | ||||||
| 26,569 | Southwest Gas Corp. | 1,925,190 | ||||||
|
| |||||||
| 3,295,723 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies – 2.5% | ||||||||
| 31,617 | AngioDynamics, Inc.* | 503,975 | ||||||
| 1,763 | Atrion Corp. | 774,222 | ||||||
| 9,533 | Cantel Medical Corp. | 679,036 | ||||||
| 28,739 | Cynosure, Inc. Class A* | 1,225,718 | ||||||
|
| |||||||
| 52 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Health Care Equipment & Supplies – (continued) | ||||||||
| 27,199 | Masimo Corp.* | $ | 1,495,945 | |||||
| 18,121 | Natus Medical, Inc.* | 713,061 | ||||||
| 15,563 | Orthofix International NV* | 570,384 | ||||||
|
| |||||||
| 5,962,341 | ||||||||
|
| |||||||
| Health Care Providers & Services – 1.5% | ||||||||
| 4,041 | Diplomat Pharmacy, Inc.* | 93,630 | ||||||
| 16,013 | Magellan Health, Inc.* | 823,869 | ||||||
| 12,664 | Molina Healthcare, Inc.* | 689,048 | ||||||
| 38,775 | Owens & Minor, Inc. | 1,258,249 | ||||||
| 34,136 | Triple-S Management Corp. Class B* | 705,932 | ||||||
|
| |||||||
| 3,570,728 | ||||||||
|
| |||||||
| Health Care Technology* – 0.9% | ||||||||
| 41,741 | HMS Holdings Corp. | 879,483 | ||||||
| 26,689 | Medidata Solutions, Inc. | 1,280,805 | ||||||
|
| |||||||
| 2,160,288 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure – 3.2% | ||||||||
| 10,599 | BJ’s Restaurants, Inc.* | 382,624 | ||||||
| 25,770 | Bloomin’ Brands, Inc. | 445,821 | ||||||
| 31,476 | Bob Evans Farms, Inc. | 1,297,441 | ||||||
| 75,669 | Boyd Gaming Corp.* | 1,351,448 | ||||||
| 15,262 | Caesars Acquisition Co. Class A* | 177,802 | ||||||
| 21,055 | ClubCorp Holdings, Inc. | 243,185 | ||||||
| 35,219 | International Speedway Corp. Class A | 1,158,705 | ||||||
| 13,327 | La Quinta Holdings, Inc.* | 133,403 | ||||||
| 1,704 | Papa John’s International, Inc. | 128,567 | ||||||
| 109,648 | Penn National Gaming, Inc.* | 1,417,749 | ||||||
| 23,006 | Pinnacle Entertainment, Inc.* | 272,621 | ||||||
| 7,374 | Ruth’s Hospitality Group, Inc. | 116,878 | ||||||
| 8,116 | The Cheesecake Factory, Inc. | 431,690 | ||||||
|
| |||||||
| 7,557,934 | ||||||||
|
| |||||||
| Household Durables – 0.7% | ||||||||
| 10,487 | Ethan Allen Interiors, Inc. | 321,951 | ||||||
| 6,509 | Helen of Troy Ltd.* | 530,484 | ||||||
| 23,452 | KB Home(a) | 340,992 | ||||||
| 23,673 | La-Z-Boy, Inc. | 553,948 | ||||||
|
| |||||||
| 1,747,375 | ||||||||
|
| |||||||
| Household Products* – 0.2% | ||||||||
| 20,043 | Central Garden & Pet Co. Class A | 467,804 | ||||||
|
| |||||||
| Independent Power and Renewable Electricity Producers – 0.9% | ||||||||
| 21,224 | NRG Yield, Inc. Class C | 326,850 | ||||||
| 33,002 | Ormat Technologies, Inc. | 1,591,686 | ||||||
| 14,579 | Pattern Energy Group, Inc. | 325,841 | ||||||
|
| |||||||
| 2,244,377 | ||||||||
|
| |||||||
| Insurance – 2.3% | ||||||||
| 80,928 | American Equity Investment Life Holding Co. | 1,451,039 | ||||||
| 24,760 | Argo Group International Holdings Ltd. | 1,376,656 | ||||||
| 50,411 | CNO Financial Group, Inc. | 760,198 | ||||||
| 5,438 | FBL Financial Group, Inc. Class A | 344,225 | ||||||
| 86,235 | Genworth Financial, Inc. Class A* | 357,013 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Insurance – (continued) | ||||||||
| 89,833 | Maiden Holdings Ltd. | 1,226,221 | ||||||
|
| |||||||
| 5,515,352 | ||||||||
|
| |||||||
| Internet & Direct Marketing Retail* – 1.5% | ||||||||
| 34,870 | FTD Cos., Inc. | 701,584 | ||||||
| 71,735 | Liberty TripAdvisor Holdings, Inc. Class A | 1,592,517 | ||||||
| 25,865 | Shutterfly, Inc. | 1,267,385 | ||||||
|
| |||||||
| 3,561,486 | ||||||||
|
| |||||||
| Internet Software & Services – 1.5% | ||||||||
| 84,185 | Bankrate, Inc.* | 656,643 | ||||||
| 13,380 | Cornerstone OnDemand, Inc.* | 552,594 | ||||||
| 202,446 | EarthLink Holdings Corp. | 1,157,991 | ||||||
| 5,817 | Five9, Inc.* | 83,299 | ||||||
| 3,971 | LogMeIn, Inc. | 377,245 | ||||||
| 33,034 | Marchex, Inc. Class B* | 83,246 | ||||||
| 31,343 | NIC, Inc. | 719,322 | ||||||
|
| |||||||
| 3,630,340 | ||||||||
|
| |||||||
| IT Services – 1.4% | ||||||||
| 5,288 | Convergys Corp. | 154,410 | ||||||
| 36,068 | CSG Systems International, Inc. | 1,371,666 | ||||||
| 31,812 | ManTech International Corp. Class A | 1,235,260 | ||||||
| 39,476 | Travelport Worldwide Ltd. | 557,401 | ||||||
|
| |||||||
| 3,318,737 | ||||||||
|
| |||||||
| Leisure Products – 0.6% | ||||||||
| 128,688 | Callaway Golf Co. | 1,313,904 | ||||||
|
| |||||||
| Life Sciences Tools & Services* – 0.3% | ||||||||
| 2,165 | Cambrex Corp. | 87,250 | ||||||
| 11,912 | PAREXEL International Corp. | 693,993 | ||||||
|
| |||||||
| 781,243 | ||||||||
|
| |||||||
| Machinery – 2.5% | ||||||||
| 10,063 | Altra Industrial Motion Corp. | 296,858 | ||||||
| 16,882 | Astec Industries, Inc. | 934,587 | ||||||
| 8,570 | Briggs & Stratton Corp. | 159,573 | ||||||
| 11,847 | Chart Industries, Inc.* | 328,636 | ||||||
| 11,352 | CLARCOR, Inc. | 706,208 | ||||||
| 3,313 | Hyster-Yale Materials Handling, Inc. | 192,850 | ||||||
| 8,671 | Kadant, Inc. | 447,857 | ||||||
| 17,149 | Miller Industries, Inc. | 376,421 | ||||||
| 7,519 | Standex International Corp. | 574,452 | ||||||
| 1,400 | Tennant Co. | 88,130 | ||||||
| 5,089 | TriMas Corp.* | 91,348 | ||||||
| 55,642 | Wabash National Corp.* | 625,972 | ||||||
| 18,508 | Woodward, Inc. | 1,091,602 | ||||||
|
| |||||||
| 5,914,494 | ||||||||
|
| |||||||
| Marine(a) – 0.0% | ||||||||
| 11,420 | Costamare, Inc. | 74,230 | ||||||
|
| |||||||
| Media – 0.3% | ||||||||
| 38,164 | Gannett Co., Inc. | 296,534 | ||||||
| 31,995 | New Media Investment Group, Inc. | 460,728 | ||||||
|
| |||||||
| 757,262 | ||||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 53 |
GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND
Schedule of Investments (continued)
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Metals & Mining – 2.3% | ||||||||
| 33,138 | AK Steel Holding Corp.*(a) | $ | 172,318 | |||||
| 12,282 | Carpenter Technology Corp. | 388,234 | ||||||
| 20,927 | Cliffs Natural Resources, Inc.*(a) | 115,517 | ||||||
| 16,391 | Coeur Mining, Inc.* | 183,251 | ||||||
| 96,036 | Commercial Metals Co.(b) | 1,508,726 | ||||||
| 13,994 | Materion Corp. | 424,018 | ||||||
| 49,369 | Schnitzer Steel Industries, Inc. Class A | 1,192,261 | ||||||
| 7,884 | SunCoke Energy, Inc. | 80,496 | ||||||
| 29,837 | Worthington Industries, Inc. | 1,402,339 | ||||||
|
| |||||||
| 5,467,160 | ||||||||
|
| |||||||
| Mortgage Real Estate Investment Trusts (REITs) – 2.2% | ||||||||
| 179,116 | Anworth Mortgage Asset Corp. | 879,460 | ||||||
| 18,640 | CYS Investments, Inc. | 160,677 | ||||||
| 105,496 | Invesco Mortgage Capital, Inc. | 1,575,055 | ||||||
| 87,394 | MTGE Investment Corp. | 1,490,068 | ||||||
| 65,482 | PennyMac Mortgage Investment Trust | 996,636 | ||||||
| 25,371 | Western Asset Mortgage Capital Corp. | 257,008 | ||||||
|
| |||||||
| 5,358,904 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels – 2.0% | ||||||||
| 43,227 | Callon Petroleum Co.* | 561,519 | ||||||
| 11,210 | Carrizo Oil & Gas, Inc.* | 379,234 | ||||||
| 4,255 | Delek US Holdings, Inc. | 71,909 | ||||||
| 230,199 | Denbury Resources, Inc.*(a) | 550,176 | ||||||
| 65,480 | EP Energy Corp. Class A*(a) | 233,109 | ||||||
| 3,287 | Green Plains, Inc. | 85,462 | ||||||
| 54,878 | Matador Resources Co.* | 1,196,889 | ||||||
| 58,985 | Oasis Petroleum, Inc.* | 618,753 | ||||||
| 19,064 | PDC Energy, Inc.* | 1,169,195 | ||||||
|
| |||||||
| 4,866,246 | ||||||||
|
| |||||||
| Paper & Forest Products – 0.6% | ||||||||
| 15,937 | KapStone Paper and Packaging Corp. | 289,097 | ||||||
| 39,767 | Louisiana-Pacific Corp.* | 729,724 | ||||||
| 10,806 | Schweitzer-Mauduit International, Inc. | 398,850 | ||||||
|
| |||||||
| 1,417,671 | ||||||||
|
| |||||||
| Pharmaceuticals* – 1.5% | ||||||||
| 16,020 | Catalent, Inc. | 365,416 | ||||||
| 73,838 | Horizon Pharma PLC | 1,234,571 | ||||||
| 25,282 | Impax Laboratories, Inc. | 508,168 | ||||||
| 26,170 | Prestige Brands Holdings, Inc. | 1,184,978 | ||||||
| 17,737 | SciClone Pharmaceuticals, Inc. | 158,746 | ||||||
|
| |||||||
| 3,451,879 | ||||||||
|
| |||||||
| Professional Services – 2.3% | ||||||||
| 4,414 | Barrett Business Services, Inc. | 197,880 | ||||||
| 33,179 | FTI Consulting, Inc.* | 1,292,654 | ||||||
| 25,713 | Huron Consulting Group, Inc.* | 1,441,214 | ||||||
| 19,490 | Insperity, Inc. | 1,465,648 | ||||||
| 16,528 | On Assignment, Inc.* | 568,728 | ||||||
| 14,420 | RPX Corp.* | 140,739 | ||||||
| 8,003 | The Advisory Board Co.* | 318,519 | ||||||
|
| |||||||
| 5,425,382 | ||||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Real Estate Management & Development – 0.4% | ||||||||
| 48,978 | Kennedy-Wilson Holdings, Inc. | 1,008,947 | ||||||
|
| |||||||
| Road & Rail – 0.1% | ||||||||
| 9,019 | ArcBest Corp. | 179,478 | ||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment – 3.6% | ||||||||
| 20,937 | Advanced Energy Industries, Inc.* | 998,695 | ||||||
| 3,696 | Cabot Microelectronics Corp. | 204,241 | ||||||
| 5,536 | Cavium, Inc.* | 312,507 | ||||||
| 6,902 | Cirrus Logic, Inc.* | 372,570 | ||||||
| 39,559 | Entegris, Inc.* | 628,988 | ||||||
| 71,336 | MaxLinear, Inc. Class A* | 1,334,697 | ||||||
| 129,981 | Photronics, Inc.* | 1,260,816 | ||||||
| 9,222 | Power Integrations, Inc. | 594,358 | ||||||
| 36,211 | Semtech Corp.* | 876,306 | ||||||
| 20,197 | Silicon Laboratories, Inc.* | 1,210,810 | ||||||
| 6,940 | Synaptics, Inc.* | 361,713 | ||||||
| 14,495 | Tessera Technologies, Inc. | 537,764 | ||||||
|
| |||||||
| 8,693,465 | ||||||||
|
| |||||||
| Software – 3.0% | ||||||||
| 7,606 | Bottomline Technologies de, Inc.* | 172,580 | ||||||
| 17,076 | CommVault Systems, Inc.* | 913,566 | ||||||
| 13,829 | Fair Isaac Corp. | 1,668,884 | ||||||
| 46,253 | Mentor Graphics Corp. | 1,336,712 | ||||||
| 4,704 | MicroStrategy, Inc. Class A* | 916,386 | ||||||
| 54,663 | Progress Software Corp.* | 1,470,981 | ||||||
| 13,167 | RingCentral, Inc. Class A* | 272,557 | ||||||
| 20,708 | TiVo Corp.* | 411,054 | ||||||
|
| |||||||
| 7,162,720 | ||||||||
|
| |||||||
| Specialty Retail – 4.0% | ||||||||
| 64,731 | Aaron’s, Inc. | 1,599,503 | ||||||
| 8,323 | Abercrombie & Fitch Co. Class A | 121,599 | ||||||
| 80,947 | American Eagle Outfitters, Inc.(a) | 1,379,337 | ||||||
| 3,214 | Asbury Automotive Group, Inc.* | 163,753 | ||||||
| 2,919 | Caleres, Inc. | 73,004 | ||||||
| 124,135 | Chico’s FAS, Inc. | 1,448,655 | ||||||
| 13,618 | Francesca’s Holdings Corp.* | 218,841 | ||||||
| 18,248 | Group 1 Automotive, Inc. | 1,099,807 | ||||||
| 2,456 | Lithia Motors, Inc. Class A | 210,676 | ||||||
| 51,842 | Rent-A-Center, Inc.(b) | 523,086 | ||||||
| 4,839 | Select Comfort Corp.* | 92,860 | ||||||
| 34,688 | The Cato Corp. Class A | 1,029,193 | ||||||
| 3,746 | The Children’s Place, Inc. | 284,509 | ||||||
| 67,426 | The Finish Line, Inc. Class A | 1,327,618 | ||||||
|
| |||||||
| 9,572,441 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals* – 0.7% | ||||||||
| 40,818 | Cray, Inc. | 849,015 | ||||||
| 31,622 | Super Micro Computer, Inc. | 749,441 | ||||||
|
| |||||||
| 1,598,456 | ||||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods – 0.4% | ||||||||
| 8,987 | Columbia Sportswear Co. | 509,024 | ||||||
| 23,060 | Crocs, Inc.* | 177,331 | ||||||
| 8,204 | Fossil Group, Inc.* | 223,723 | ||||||
|
| |||||||
| 54 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Textiles, Apparel & Luxury Goods – (continued) | ||||||||
| 4,840 | G-III Apparel Group Ltd.* | $ | 126,421 | |||||
|
| |||||||
| 1,036,499 | ||||||||
|
| |||||||
| Thrifts & Mortgage Finance – 3.7% | ||||||||
| 61,749 | Beneficial Bancorp, Inc. | 895,361 | ||||||
| 11,263 | Capitol Federal Financial, Inc. | 165,228 | ||||||
| 81,585 | Dime Community Bancshares, Inc. | 1,321,677 | ||||||
| 28,939 | HomeStreet, Inc.* | 797,269 | ||||||
| 65,853 | Oritani Financial Corp. | 1,030,600 | ||||||
| 124,290 | Radian Group, Inc. | 1,689,101 | ||||||
| 60,577 | Washington Federal, Inc. | 1,650,723 | ||||||
| 35,981 | WSFS Financial Corp. | 1,261,134 | ||||||
|
| |||||||
| 8,811,093 | ||||||||
|
| |||||||
| Trading Companies & Distributors – 1.2% | ||||||||
| 49,894 | Aircastle Ltd. | 1,025,322 | ||||||
| 40,598 | H&E Equipment Services, Inc. | 566,342 | ||||||
| 92,307 | MRC Global, Inc.* | 1,360,605 | ||||||
|
| |||||||
| 2,952,269 | ||||||||
|
| |||||||
| Wireless Telecommunication Services – 0.2% | ||||||||
| 22,931 | Spok Holdings, Inc. | 413,904 | ||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $232,418,444) | $ | 232,425,780 | ||||||
|
| |||||||
| Shares | Distribution Rate | Value | ||||||
| Investment Company(c)(d) – 1.2% | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||||
2,983,493 | 0.300 | % | $ | 2,983,493 | ||||
| (Cost $2,983,493) | ||||||||
| ||||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | ||||||||
| (Cost $235,401,937) | $ | 235,409,273 | ||||||
| ||||||||
| Securities Lending Reinvestment Vehicle(c)(d) – 2.5% | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||||
5,850,847 | 0.300 | % | $ | 5,850,847 | ||||
| (Cost $5,850,847) | ||||||||
| ||||||||
| TOTAL INVESTMENTS – 101.1% | ||||||||
| (Cost $241,252,784) | $ | 241,260,120 | ||||||
| ||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (1.1)% | (2,648,009 | ) | ||||||
| ||||||||
| NET ASSETS – 100.0% | $ | 238,612,111 | ||||||
| ||||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(c) | Represents an Affiliated Fund. | |
(d) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on October 31, 2016. | |
| ||
Investment Abbreviations: | ||
PLC | —Public Limited Company | |
REIT | —Real Estate Investment Trust | |
| ||
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At October 31, 2016, the Fund had the following futures contracts:
| Type | Number of Contracts Long (Short) | Expiration Date | Current Value | Unrealized Gain (Loss) | ||||||
Russell Mini 2000 Index | 38 | December 2016 | $4,519,340 | $ | (222,506 | ) | ||||
| The accompanying notes are an integral part of these financial statements. | 55 |
GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND
Schedule of Investments
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – 96.6% | ||||||||
| Aerospace & Defense – 1.1% | ||||||||
| 21,329 | Curtiss-Wright Corp. | $ | 1,911,505 | |||||
| 15,696 | DigitalGlobe, Inc.* | 393,969 | ||||||
| 1,748 | Esterline Technologies Corp.* | 128,391 | ||||||
|
| |||||||
| 2,433,865 | ||||||||
|
| |||||||
| Airlines – 1.6% | ||||||||
| 7,282 | Allegiant Travel Co. | 1,004,188 | ||||||
| 38,514 | Hawaiian Holdings, Inc.* | 1,734,093 | ||||||
| 29,759 | SkyWest, Inc. | 897,234 | ||||||
|
| |||||||
| 3,635,515 | ||||||||
|
| |||||||
| Auto Components – 2.4% | ||||||||
| 18,791 | American Axle & Manufacturing Holdings, Inc.* | 336,735 | ||||||
| 16,046 | Cooper-Standard Holding, Inc.* | 1,464,518 | ||||||
| 68,682 | Dana, Inc. | 1,063,197 | ||||||
| 16,210 | Drew Industries, Inc. | 1,451,606 | ||||||
| 7,205 | Gentherm, Inc.* | 202,821 | ||||||
| 7,127 | Superior Industries International, Inc. | 174,612 | ||||||
| 12,633 | Tenneco, Inc.* | 695,699 | ||||||
|
| |||||||
| 5,389,188 | ||||||||
|
| |||||||
| Banks – 0.3% | ||||||||
| 7,686 | FCB Financial Holdings, Inc. Class A* | 286,688 | ||||||
| 21,419 | OFG Bancorp | 228,112 | ||||||
| 1,395 | Prosperity Bancshares, Inc. | 77,381 | ||||||
|
| |||||||
| 592,181 | ||||||||
|
| |||||||
| Beverages*(a) – 0.4% | ||||||||
| 4,964 | The Boston Beer Co., Inc. Class A | 770,661 | ||||||
|
| |||||||
| Biotechnology – 9.3% | ||||||||
| 17,359 | Acceleron Pharma, Inc.* | 486,573 | ||||||
| 59,833 | Achillion Pharmaceuticals, Inc.* | 375,751 | ||||||
| 37,360 | Acorda Therapeutics, Inc.* | 661,272 | ||||||
| 4,877 | AMAG Pharmaceuticals, Inc.* | 125,339 | ||||||
| 34,654 | ARIAD Pharmaceuticals, Inc.* | 302,183 | ||||||
| 36,612 | Array BioPharma, Inc.* | 208,688 | ||||||
| 18,585 | Blueprint Medicines Corp.*(a) | 557,178 | ||||||
| 29,876 | Dyax Corp. | 45,262 | ||||||
| 7,975 | Editas Medicine, Inc.* | 112,766 | ||||||
| 29,228 | Emergent BioSolutions, Inc.* | 780,972 | ||||||
| 25,722 | Exact Sciences Corp.*(a) | 400,749 | ||||||
| 123,280 | Exelixis, Inc.* | 1,305,535 | ||||||
| 52,604 | FibroGen, Inc.* | 870,596 | ||||||
| 7,394 | Five Prime Therapeutics, Inc.* | 358,831 | ||||||
| 43,069 | Genomic Health, Inc.* | 1,283,887 | ||||||
| 16,957 | Halozyme Therapeutics, Inc.*(a)(b) | 146,339 | ||||||
| 50,301 | Insys Therapeutics, Inc.*(a) | 543,754 | ||||||
| 117,644 | Ironwood Pharmaceuticals, Inc.* | 1,502,314 | ||||||
| 25,247 | Lexicon Pharmaceuticals, Inc.*(a) | 374,413 | ||||||
| 2,982 | Ligand Pharmaceuticals, Inc.*(a) | 285,467 | ||||||
| 17,424 | MacroGenics, Inc.* | 412,775 | ||||||
| 55,478 | MiMedx Group, Inc.*(a) | 494,309 | ||||||
| 23,331 | Momenta Pharmaceuticals, Inc.* | 260,141 | ||||||
| 67,561 | Myriad Genetics, Inc.*(a) | 1,331,627 | ||||||
| 26,822 | Ophthotech Corp.* | 960,764 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Biotechnology – (continued) | ||||||||
| 11,998 | Prothena Corp. PLC*(a) | $ | 573,744 | |||||
| 17,247 | Puma Biotechnology, Inc.* | 660,560 | ||||||
| 1,898 | Radius Health, Inc.* | 81,462 | ||||||
| 33,188 | Repligen Corp.* | 948,181 | ||||||
| 9,600 | Retrophin, Inc.* | 180,960 | ||||||
| 7,939 | Sage Therapeutics, Inc.* | 345,664 | ||||||
| 10,600 | Sarepta Therapeutics, Inc.* | 415,944 | ||||||
| 1,704 | Spark Therapeutics, Inc.* | 80,105 | ||||||
| 7,798 | TESARO, Inc.* | 942,622 | ||||||
| 7,234 | Ultragenyx Pharmaceutical, Inc.* | 426,734 | ||||||
| 33,189 | Vanda Pharmaceuticals, Inc.* | 492,857 | ||||||
| 51,613 | Xencor, Inc.* | 1,098,841 | ||||||
| 33,150 | ZIOPHARM Oncology, Inc.*(a) | 188,292 | ||||||
|
| |||||||
| 20,623,451 | ||||||||
|
| |||||||
| Building Products – 2.2% | ||||||||
| 15,487 | Advanced Drainage Systems, Inc. | 295,802 | ||||||
| 4,916 | Caesarstone, Ltd.* | 173,781 | ||||||
| 44,332 | Continental Building Products, Inc.* | 906,589 | ||||||
| 5,629 | Gibraltar Industries, Inc.* | 218,968 | ||||||
| 13,196 | Insteel Industries, Inc. | 354,972 | ||||||
| 4,461 | Masonite International Corp.* | 253,831 | ||||||
| 62,070 | NCI Building Systems, Inc.* | 893,808 | ||||||
| 7,889 | Ply Gem Holdings, Inc.* | 108,079 | ||||||
| 6,917 | Trex Co., Inc.* | 372,204 | ||||||
| 14,398 | Universal Forest Products, Inc. | 1,238,084 | ||||||
|
| |||||||
| 4,816,118 | ||||||||
|
| |||||||
| Capital Markets – 1.4% | ||||||||
| 2,554 | Cohen & Steers, Inc. | 94,958 | ||||||
| 32,109 | Evercore Partners, Inc. Class A | 1,725,859 | ||||||
| 23,806 | Piper Jaffray Cos.* | 1,346,229 | ||||||
|
| |||||||
| 3,167,046 | ||||||||
|
| |||||||
| Chemicals – 3.9% | ||||||||
| 3,494 | Chase Corp. | 238,815 | ||||||
| 52,217 | GCP Applied Technologies, Inc.* | 1,349,809 | ||||||
| 30,090 | H.B. Fuller Co. | 1,265,886 | ||||||
| 7,707 | Innophos Holdings, Inc. | 353,289 | ||||||
| 10,839 | Koppers Holdings, Inc.* | 354,977 | ||||||
| 21,852 | Minerals Technologies, Inc. | 1,468,454 | ||||||
| 37,791 | PolyOne Corp.(b) | 1,104,631 | ||||||
| 4,495 | Stepan Co. | 319,280 | ||||||
| 46,483 | The Chemours Co. | 763,716 | ||||||
| 28,428 | Trinseo SA | 1,491,049 | ||||||
|
| |||||||
| 8,709,906 | ||||||||
|
| |||||||
| Commercial Services & Supplies – 3.6% | ||||||||
| 41,924 | Brady Corp. Class A | 1,387,684 | ||||||
| 35,443 | Herman Miller, Inc. | 985,315 | ||||||
| 21,975 | HNI Corp. | 893,503 | ||||||
| 21,734 | Interface, Inc. | 344,484 | ||||||
| 46,967 | Knoll, Inc. | 1,016,366 | ||||||
| 9,271 | McGrath RentCorp | 279,057 | ||||||
| 35,062 | Quad Graphics, Inc. | 833,073 | ||||||
| 25,476 | Steelcase, Inc. Class A | 340,105 | ||||||
|
| |||||||
| 56 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Commercial Services & Supplies – (continued) | ||||||||
| 41,260 | The Brink’s Co. | $ | 1,631,833 | |||||
| 9,373 | West Corp. | 184,836 | ||||||
|
| |||||||
| 7,896,256 | ||||||||
|
| |||||||
| Communications Equipment – 2.1% | ||||||||
| 3,698 | Ciena Corp.* | 71,667 | ||||||
| 25,352 | Finisar Corp.* | 694,138 | ||||||
| 24,982 | Infinera Corp.* | 194,860 | ||||||
| 23,607 | InterDigital, Inc. | 1,667,834 | ||||||
| 25,467 | Ixia* | 304,331 | ||||||
| 25,450 | NETGEAR, Inc.* | 1,285,225 | ||||||
| 30,524 | ShoreTel, Inc.* | 202,984 | ||||||
| 45,307 | Viavi Solutions, Inc.* | 322,586 | ||||||
|
| |||||||
| 4,743,625 | ||||||||
|
| |||||||
| Construction & Engineering – 1.0% | ||||||||
| 19,980 | Aegion Corp.* | 369,830 | ||||||
| 19,781 | Comfort Systems USA, Inc. | 570,682 | ||||||
| 21,351 | EMCOR Group, Inc. | 1,290,881 | ||||||
|
| |||||||
| 2,231,393 | ||||||||
|
| |||||||
| Diversified Consumer Services – 2.3% | ||||||||
| 13,942 | Bright Horizons Family Solutions, Inc.* | 932,859 | ||||||
| 14,737 | Capella Education Co. | 1,077,275 | ||||||
| 101,268 | Houghton Mifflin Harcourt Co.* | 1,281,040 | ||||||
| 39,217 | Regis Corp.* | 497,272 | ||||||
| 34,750 | Sotheby’s(a) | 1,246,830 | ||||||
|
| |||||||
| 5,035,276 | ||||||||
|
| |||||||
| Diversified Telecommunication Services – 0.7% | ||||||||
| 27,018 | Cogent Communications Holdings, Inc. | 996,964 | ||||||
| 29,287 | General Communication, Inc. Class A* | 463,906 | ||||||
|
| |||||||
| 1,460,870 | ||||||||
|
| |||||||
| Electric Utilities – 0.3% | ||||||||
| 15,944 | Portland General Electric Co. | 695,796 | ||||||
|
| |||||||
| Electrical Equipment – 1.2% | ||||||||
| 24,777 | AZZ, Inc. | 1,319,375 | ||||||
| 10,921 | Babcock & Wilcox Enterprises, Inc.* | 171,897 | ||||||
| 1,054 | EnerSys | 68,647 | ||||||
| 14,349 | Generac Holdings, Inc.* | 546,553 | ||||||
| 46,815 | General Cable Corp. | 655,410 | ||||||
|
| |||||||
| 2,761,882 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components – 3.0% | ||||||||
| 21,473 | Belden, Inc. | 1,391,665 | ||||||
| 39,754 | Benchmark Electronics, Inc.* | 999,813 | ||||||
| 8,597 | Fabrinet* | 326,342 | ||||||
| 39,051 | II-VI, Inc.* | 1,085,618 | ||||||
| 6,098 | Itron, Inc.* | 328,682 | ||||||
| 19,524 | Methode Electronics, Inc. | 609,149 | ||||||
| 10,119 | MTS Systems Corp. | 481,159 | ||||||
| 21,223 | Rogers Corp.* | 1,155,168 | ||||||
| 28,543 | TTM Technologies, Inc.* | 375,340 | ||||||
|
| |||||||
| 6,752,936 | ||||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Energy Equipment & Services* – 0.1% | ||||||||
| 8,367 | Unit Corp. | $ | 143,327 | |||||
|
| |||||||
| Equity Real Estate Investment Trusts (REITs) – 3.4% | ||||||||
| 22,342 | CareTrust REIT, Inc. | 314,575 | ||||||
| 15,182 | CoreSite Realty Corp. | 1,119,521 | ||||||
| 4,761 | DuPont Fabros Technology, Inc. | 194,297 | ||||||
| 46,844 | First Industrial Realty Trust, Inc. | 1,237,150 | ||||||
| 33,799 | Hudson Pacific Properties, Inc. | 1,136,322 | ||||||
| 33,011 | Pennsylvania Real Estate Investment Trust | 644,045 | ||||||
| 8,529 | Physicians Realty Trust | 168,618 | ||||||
| 10,489 | PS Business Parks, Inc. | 1,151,587 | ||||||
| 34,625 | QTS Realty Trust, Inc. Class A | 1,591,365 | ||||||
|
| |||||||
| 7,557,480 | ||||||||
|
| |||||||
| Food Products – 1.3% | ||||||||
| 21,315 | Calavo Growers, Inc. | 1,260,782 | ||||||
| 7,749 | Darling Ingredients, Inc.* | 105,386 | ||||||
| 9,550 | Fresh Del Monte Produce, Inc. | 576,343 | ||||||
| 4,580 | John B. Sanfilippo & Son, Inc. | 232,115 | ||||||
| 4,699 | Lancaster Colony Corp. | 613,924 | ||||||
|
| |||||||
| 2,788,550 | ||||||||
|
| |||||||
| Gas Utilities – 0.6% | ||||||||
| 18,611 | Southwest Gas Corp. | 1,348,553 | ||||||
|
| |||||||
| Health Care Equipment & Supplies – 3.5% | ||||||||
| 4,991 | AngioDynamics, Inc.* | 79,557 | ||||||
| 293 | Atrion Corp. | 128,671 | ||||||
| 15,734 | Cantel Medical Corp. | 1,120,733 | ||||||
| 31,477 | Cynosure, Inc. Class A* | 1,342,494 | ||||||
| 2,170 | Inogen, Inc.* | 116,464 | ||||||
| 16,984 | Insulet Corp.* | 630,446 | ||||||
| 30,709 | Masimo Corp.* | 1,688,995 | ||||||
| 11,887 | Meridian Bioscience, Inc. | 195,541 | ||||||
| 26,889 | Natus Medical, Inc.* | 1,058,082 | ||||||
| 17,026 | NxStage Medical, Inc.* | 387,171 | ||||||
| 25,976 | Orthofix International NV* | 952,020 | ||||||
|
| |||||||
| 7,700,174 | ||||||||
|
| |||||||
| Health Care Providers & Services – 2.3% | ||||||||
| 7,089 | Amedisys, Inc.* | 306,670 | ||||||
| 10,724 | CorVel Corp.* | 370,514 | ||||||
| 13,165 | Diplomat Pharmacy, Inc.*(a) | 305,033 | ||||||
| 18,935 | HealthSouth Corp. | 760,240 | ||||||
| 16,508 | Magellan Health, Inc.* | 849,337 | ||||||
| 17,005 | Molina Healthcare, Inc.* | 925,242 | ||||||
| 33,415 | Owens & Minor, Inc. | 1,084,317 | ||||||
| 3,626 | The Providence Service Corp.* | 146,726 | ||||||
| 19,047 | Triple-S Management Corp. Class B* | 393,892 | ||||||
|
| |||||||
| 5,141,971 | ||||||||
|
| |||||||
| Health Care Technology* – 1.4% | ||||||||
| 57,424 | HMS Holdings Corp. | 1,209,924 | ||||||
| 37,015 | Medidata Solutions, Inc. | 1,776,350 | ||||||
| 2,109 | Omnicell, Inc. | 68,806 | ||||||
|
| |||||||
| 3,055,080 | ||||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 57 |
GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND
Schedule of Investments (continued)
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Hotels, Restaurants & Leisure – 3.9% | ||||||||
| 21,985 | BJ’s Restaurants, Inc.* | $ | 793,659 | |||||
| 43,037 | Bloomin’ Brands, Inc. | 744,540 | ||||||
| 35,100 | Bob Evans Farms, Inc. | 1,446,822 | ||||||
| 82,092 | Boyd Gaming Corp.* | 1,466,163 | ||||||
| 50,610 | ClubCorp Holdings, Inc. | 584,546 | ||||||
| 26,626 | La Quinta Holdings, Inc.* | 266,526 | ||||||
| 3,423 | Papa John’s International, Inc. | 258,265 | ||||||
| 98,381 | Penn National Gaming, Inc.* | 1,272,066 | ||||||
| 31,846 | Pinnacle Entertainment, Inc.* | 377,375 | ||||||
| 10,245 | Planet Fitness, Inc. Class A*(a) | 217,194 | ||||||
| 13,274 | Ruth’s Hospitality Group, Inc. | 210,393 | ||||||
| 7,448 | Sonic Corp. | 170,634 | ||||||
| 17,114 | The Cheesecake Factory, Inc. | 910,294 | ||||||
|
| |||||||
| 8,718,477 | ||||||||
|
| |||||||
| Household Durables – 0.9% | ||||||||
| 8,537 | Ethan Allen Interiors, Inc. | 262,086 | ||||||
| 11,847 | Helen of Troy Ltd.* | 965,530 | ||||||
| 16,872 | KB Home(a) | 245,319 | ||||||
| 24,744 | La-Z-Boy, Inc. | 579,010 | ||||||
|
| |||||||
| 2,051,945 | ||||||||
|
| |||||||
| Household Products* – 0.2% | ||||||||
| 19,652 | Central Garden & Pet Co. Class A | 458,678 | ||||||
|
| |||||||
| Independent Power and Renewable Electricity Producers – 0.7% | ||||||||
| 28,492 | Ormat Technologies, Inc. | 1,374,169 | ||||||
| 8,139 | Pattern Energy Group, Inc. | 181,907 | ||||||
|
| |||||||
| 1,556,076 | ||||||||
|
| |||||||
| Insurance – 1.1% | ||||||||
| 56,800 | American Equity Investment Life Holding Co. | 1,018,424 | ||||||
| 15,880 | Argo Group International Holdings Ltd.(b) | 882,928 | ||||||
| 46,451 | Maiden Holdings Ltd. | 634,056 | ||||||
|
| |||||||
| 2,535,408 | ||||||||
|
| |||||||
| Internet & Direct Marketing Retail* – 1.5% | ||||||||
| 12,281 | Etsy, Inc. | 159,408 | ||||||
| 8,203 | FTD Cos., Inc. | 165,044 | ||||||
| 70,890 | Liberty TripAdvisor Holdings, Inc. Class A | 1,573,758 | ||||||
| 29,211 | Shutterfly, Inc. | 1,431,339 | ||||||
|
| |||||||
| 3,329,549 | ||||||||
|
| |||||||
| Internet Software & Services – 3.1% | ||||||||
| 58,837 | Bankrate, Inc.* | 458,929 | ||||||
| 31,771 | Cornerstone OnDemand, Inc.* | 1,312,142 | ||||||
| 209,394 | EarthLink Holdings Corp. | 1,197,734 | ||||||
| 28,422 | Five9, Inc.* | 407,003 | ||||||
| 16,065 | Intralinks Holdings, Inc.* | 147,316 | ||||||
| 11,568 | j2 Global, Inc. | 823,063 | ||||||
| 8,577 | LogMeIn, Inc. | 814,815 | ||||||
| 61,739 | NIC, Inc. | 1,416,910 | ||||||
| 7,261 | RetailMeNot, Inc.* | 65,712 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Internet Software & Services – (continued) | ||||||||
| 1,999 | SPS Commerce, Inc.* | $ | 124,698 | |||||
|
| |||||||
| 6,768,322 | ||||||||
|
| |||||||
| IT Services – 2.1% | ||||||||
| 14,615 | Cardtronics PLC Class A* | 730,750 | ||||||
| 31,923 | Convergys Corp. | 932,152 | ||||||
| 36,368 | CSG Systems International, Inc. | 1,383,075 | ||||||
| 15,402 | ExlService Holdings, Inc.* | 678,150 | ||||||
| 70,549 | Travelport Worldwide Ltd. | 996,152 | ||||||
|
| |||||||
| 4,720,279 | ||||||||
|
| |||||||
| Leisure Products – 0.5% | ||||||||
| 109,846 | Callaway Golf Co. | 1,121,528 | ||||||
| 3,022 | Smith & Wesson Holding Corp.*(a) | 79,871 | ||||||
|
| |||||||
| 1,201,399 | ||||||||
|
| |||||||
| Life Sciences Tools & Services* – 1.0% | ||||||||
| 8,418 | Cambrex Corp. | 339,245 | ||||||
| 7,765 | INC Research Holdings, Inc. Class A | 354,861 | ||||||
| 5,321 | Luminex Corp. | 110,836 | ||||||
| 23,356 | PAREXEL International Corp. | 1,360,721 | ||||||
|
| |||||||
| 2,165,663 | ||||||||
|
| |||||||
| Machinery – 2.8% | ||||||||
| 10,261 | Altra Industrial Motion Corp. | 302,699 | ||||||
| 16,236 | Astec Industries, Inc. | 898,825 | ||||||
| 18,843 | CLARCOR, Inc. | 1,172,223 | ||||||
| 3,015 | Global Brass & Copper Holdings, Inc. | 86,531 | ||||||
| 2,999 | Hillenbrand, Inc. | 91,020 | ||||||
| 2,682 | Hyster-Yale Materials Handling, Inc. | 156,119 | ||||||
| 7,654 | Rexnord Corp.* | 152,238 | ||||||
| 8,890 | Standex International Corp. | 679,196 | ||||||
| 6,488 | Tennant Co. | 408,420 | ||||||
| 63,757 | Wabash National Corp.* | 717,266 | ||||||
| 24,759 | Woodward, Inc. | 1,460,286 | ||||||
|
| |||||||
| 6,124,823 | ||||||||
|
| |||||||
| Media – 0.2% | ||||||||
| 32,445 | New Media Investment Group, Inc. | 467,208 | ||||||
|
| |||||||
| Metals & Mining – 1.3% | ||||||||
| 20,719 | Coeur Mining, Inc.* | 231,638 | ||||||
| 68,783 | Commercial Metals Co. | 1,080,581 | ||||||
| 9,297 | Schnitzer Steel Industries, Inc. Class A | 224,523 | ||||||
| 29,113 | Worthington Industries, Inc. | 1,368,311 | ||||||
|
| |||||||
| 2,905,053 | ||||||||
|
| |||||||
| Mortgage Real Estate Investment Trusts (REITs) – 1.1% | ||||||||
| 62,513 | Anworth Mortgage Asset Corp. | 306,939 | ||||||
| 78,006 | Invesco Mortgage Capital, Inc. | 1,164,629 | ||||||
| 61,018 | MTGE Investment Corp. | 1,040,357 | ||||||
|
| |||||||
| 2,511,925 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels* – 1.3% | ||||||||
| 56,276 | Callon Petroleum Co. | 731,025 | ||||||
| 14,430 | Carrizo Oil & Gas, Inc. | 488,167 | ||||||
| 90,025 | Denbury Resources, Inc.(a) | 215,160 | ||||||
|
| |||||||
| 58 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Oil, Gas & Consumable Fuels* – (continued) | ||||||||
| 52,067 | Matador Resources Co. | $ | 1,135,581 | |||||
| 9,209 | Oasis Petroleum, Inc. | 96,602 | ||||||
| 1,757 | PDC Energy, Inc. | 107,757 | ||||||
|
| |||||||
| 2,774,292 | ||||||||
|
| |||||||
| Paper & Forest Products – 0.7% | ||||||||
| 9,218 | KapStone Paper and Packaging Corp. | 167,214 | ||||||
| 58,692 | Louisiana-Pacific Corp.* | 1,076,998 | ||||||
| 7,504 | Schweitzer-Mauduit International, Inc. | 276,973 | ||||||
|
| |||||||
| 1,521,185 | ||||||||
|
| |||||||
| Personal Products* – 0.0% | ||||||||
| 775 | USANA Health Sciences, Inc. | 99,588 | ||||||
|
| |||||||
| Pharmaceuticals – 2.9% | ||||||||
| 41,802 | Catalent, Inc.* | 953,504 | ||||||
| 10,028 | Depomed, Inc.* | 224,226 | ||||||
| 95,709 | Horizon Pharma PLC* | 1,600,254 | ||||||
| 42,803 | Impax Laboratories, Inc.* | 860,340 | ||||||
| 27,605 | Innoviva, Inc.(a) | 284,331 | ||||||
| 16,087 | Pacira Pharmaceuticals, Inc.* | 511,567 | ||||||
| 33,192 | Prestige Brands Holdings, Inc.* | 1,502,934 | ||||||
| 35,402 | SciClone Pharmaceuticals, Inc.* | 316,848 | ||||||
| 8,512 | Supernus Pharmaceuticals, Inc.* | 168,538 | ||||||
|
| |||||||
| 6,422,542 | ||||||||
|
| |||||||
| Professional Services – 2.8% | ||||||||
| 7,972 | CEB, Inc. | 387,838 | ||||||
| 26,672 | FTI Consulting, Inc.* | 1,039,141 | ||||||
| 20,638 | Huron Consulting Group, Inc.* | 1,156,760 | ||||||
| 19,495 | Insperity, Inc. | 1,466,024 | ||||||
| 3,551 | Mistras Group, Inc.* | 74,358 | ||||||
| 29,482 | On Assignment, Inc.* | 1,014,476 | ||||||
| 23,284 | RPX Corp.* | 227,252 | ||||||
| 14,014 | The Advisory Board Co.* | 557,757 | ||||||
| 14,517 | TrueBlue, Inc.* | 254,047 | ||||||
|
| |||||||
| 6,177,653 | ||||||||
|
| |||||||
| Real Estate Management & Development – 0.4% | ||||||||
| 47,394 | Kennedy-Wilson Holdings, Inc. | 976,316 | ||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment – 6.1% | ||||||||
| 29,013 | Advanced Energy Industries, Inc.* | 1,383,920 | ||||||
| 9,179 | Cabot Microelectronics Corp. | 507,232 | ||||||
| 18,149 | Cavium, Inc.* | 1,024,511 | ||||||
| 4,604 | CEVA, Inc.* | 138,350 | ||||||
| 16,068 | Cirrus Logic, Inc.* | 867,351 | ||||||
| 61,828 | Entegris, Inc.* | 983,065 | ||||||
| 8,677 | Inphi Corp.* | 321,917 | ||||||
| 4,441 | Integrated Device Technology, Inc.* | 91,973 | ||||||
| 51,079 | Lattice Semiconductor Corp.* | 310,050 | ||||||
| 70,927 | MaxLinear, Inc. Class A* | 1,327,044 | ||||||
| 101,443 | Photronics, Inc.* | 983,997 | ||||||
| 14,894 | Power Integrations, Inc. | 959,918 | ||||||
| 61,934 | Semtech Corp.* | 1,498,803 | ||||||
| 26,652 | Silicon Laboratories, Inc.* | 1,597,787 | ||||||
| 12,398 | Synaptics, Inc.* | 646,184 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Semiconductors & Semiconductor Equipment – (continued) | ||||||||
| 24,183 | Tessera Technologies, Inc. | $ | 897,189 | |||||
|
| |||||||
| 13,539,291 | ||||||||
|
| |||||||
| Software – 5.2% | ||||||||
| 33,341 | Bottomline Technologies de, Inc.* | 756,507 | ||||||
| 29,823 | CommVault Systems, Inc.* | 1,595,530 | ||||||
| 17,286 | Fair Isaac Corp. | 2,086,074 | ||||||
| 3,295 | Gigamon, Inc.* | 182,214 | ||||||
| 14,167 | Infoblox, Inc.* | 375,426 | ||||||
| 7,645 | Mentor Graphics Corp. | 220,941 | ||||||
| 7,844 | MicroStrategy, Inc. Class A* | 1,528,090 | ||||||
| 12,157 | Monotype Imaging Holdings, Inc. | 232,199 | ||||||
| 42,730 | Progress Software Corp.* | 1,149,864 | ||||||
| 6,016 | Proofpoint, Inc.* | 471,534 | ||||||
| 11,753 | Qualys, Inc.* | 437,799 | ||||||
| 40,399 | RingCentral, Inc. Class A* | 836,259 | ||||||
| 16,075 | Synchronoss Technologies, Inc.* | 590,113 | ||||||
| 12,245 | Take-Two Interactive Software, Inc.* | 543,556 | ||||||
| 28,391 | TiVo Corp.* | 563,561 | ||||||
|
| |||||||
| 11,569,667 | ||||||||
|
| |||||||
| Specialty Retail – 4.4% | ||||||||
| 44,427 | Aaron’s, Inc. | 1,097,791 | ||||||
| 92,098 | American Eagle Outfitters, Inc. | 1,569,350 | ||||||
| 6,210 | Asbury Automotive Group, Inc.* | 316,400 | ||||||
| 24,949 | Ascena Retail Group, Inc.* | 122,001 | ||||||
| 124,977 | Chico’s FAS, Inc. | 1,458,482 | ||||||
| 22,942 | Francesca’s Holdings Corp.* | 368,678 | ||||||
| 7,433 | GNC Holdings, Inc. Class A | 99,825 | ||||||
| 17,197 | Group 1 Automotive, Inc. | 1,036,463 | ||||||
| 6,563 | Lithia Motors, Inc. Class A | 562,974 | ||||||
| 38,727 | Pier 1 Imports, Inc.(a) | 166,913 | ||||||
| 17,997 | Select Comfort Corp.* | 345,362 | ||||||
| 30,873 | The Cato Corp. Class A | 916,002 | ||||||
| 7,741 | The Children’s Place, Inc. | 587,929 | ||||||
| 57,318 | The Finish Line, Inc. Class A | 1,128,591 | ||||||
|
| |||||||
| 9,776,761 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals* – 0.9% | ||||||||
| 47,693 | Cray, Inc. | 992,015 | ||||||
| 43,266 | Super Micro Computer, Inc. | 1,025,404 | ||||||
|
| |||||||
| 2,017,419 | ||||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods – 0.6% | ||||||||
| 14,901 | Columbia Sportswear Co. | 843,992 | ||||||
| 31,423 | Crocs, Inc.* | 241,643 | ||||||
| 8,883 | G-III Apparel Group Ltd.* | 232,024 | ||||||
|
| |||||||
| 1,317,659 | ||||||||
|
| |||||||
| Thrifts & Mortgage Finance – 0.6% | ||||||||
| 70,411 | Radian Group, Inc. | 956,885 | ||||||
| 11,168 | Washington Federal, Inc. | 304,328 | ||||||
|
| |||||||
| 1,261,213 | ||||||||
|
| |||||||
| Trading Companies & Distributors – 0.9% | ||||||||
| 14,062 | Aircastle Ltd. | 288,974 | ||||||
| 48,763 | H&E Equipment Services, Inc. | 680,244 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 59 |
GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND
Schedule of Investments (continued)
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Trading Companies & Distributors – (continued) | ||||||||
| 59,807 | MRC Global, Inc.* | $ | 881,555 | |||||
| 11,170 | Univar, Inc.* | 248,533 | ||||||
|
| |||||||
| 2,099,306 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $210,673,554) | $ | 214,518,797 | ||||||
|
| |||||||
| Shares | Distribution Rate | Value | ||||||
| Investment Company(c)(d) – 2.1% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
| 4,676,926 | 0.300% | $ | 4,676,926 | |||||
| (Cost $4,676,926) | ||||||||
|
| |||||||
| | TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | | ||||||
| (Cost $215,350,480) | $ | 219,195,723 | ||||||
|
| |||||||
| Securities Lending Reinvestment Vehicle(c)(d) – 3.1% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
| 6,824,350 | 0.300% | $ | 6,824,350 | |||||
| (Cost $6,824,350) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS – 101.8% | ||||||||
| (Cost $222,174,830) | $ | 226,020,073 | ||||||
|
| |||||||
| | LIABILITIES IN EXCESS OF OTHER ASSETS – (1.8)% | (3,974,247 | ) | |||||
|
| |||||||
| NET ASSETS – 100.0% | $ | 222,045,826 | ||||||
|
| |||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(c) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on October 31, 2016. | |
(d) | Represents an Affiliated Fund. | |
| ||
Investment Abbreviations: | ||
PLC | —Public Limited Company | |
REIT | —Real Estate Investment Trust | |
| ||
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At October 31, 2016, the Fund had the following futures contracts:
| Type | Number of Contracts Long (Short) | Expiration Date | Current Value | Unrealized Gain (Loss) | ||||||||
Russell Mini 2000 Index | 31 | December 2016 | $ | 3,686,830 | $ | (59,933 | ) | |||||
| 60 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND
Schedule of Investments
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – 97.4% | ||||||||
| Aerospace & Defense – 2.2% | ||||||||
| 10,341 | Curtiss-Wright Corp. | $ | 926,760 | |||||
| 30,726 | DigitalGlobe, Inc.* | 771,223 | ||||||
| 6,550 | Ducommun, Inc.* | 124,712 | ||||||
| 1,460 | Engility Holdings, Inc.* | 41,946 | ||||||
| 13,548 | Esterline Technologies Corp.* | 995,101 | ||||||
| 5,064 | Wesco Aircraft Holdings, Inc.* | 65,072 | ||||||
|
| |||||||
| 2,924,814 | ||||||||
|
| |||||||
| Airlines – 1.2% | ||||||||
| 14,464 | Hawaiian Holdings, Inc.* | 651,242 | ||||||
| 32,648 | SkyWest, Inc. | 984,337 | ||||||
|
| |||||||
| 1,635,579 | ||||||||
|
| |||||||
| Auto Components – 2.6% | ||||||||
| 17,854 | Cooper Tire & Rubber Co. | 656,134 | ||||||
| 7,791 | Cooper-Standard Holding, Inc.* | 711,085 | ||||||
| 69,439 | Dana, Inc. | 1,074,916 | ||||||
| 32,950 | Modine Manufacturing Co.* | 360,803 | ||||||
| 27,317 | Superior Industries International, Inc. | 669,266 | ||||||
|
| |||||||
| 3,472,204 | ||||||||
|
| |||||||
| Banks – 14.6% | ||||||||
| 14,913 | 1st Source Corp. | 515,393 | ||||||
| 29,521 | Berkshire Hills Bancorp, Inc. | 872,346 | ||||||
| 34,947 | Central Pacific Financial Corp. | 895,692 | ||||||
| 53,012 | CVB Financial Corp. | 889,541 | ||||||
| 21,990 | F.N.B. Corp. | 287,409 | ||||||
| 24,221 | FCB Financial Holdings, Inc. Class A* | 903,443 | ||||||
| 13,542 | First Busey Corp. | 312,956 | ||||||
| 4,077 | First Citizens BancShares, Inc. Class A | 1,186,407 | ||||||
| 37,602 | First Financial Bancorp | 808,443 | ||||||
| 4,967 | First Financial Bankshares, Inc.(a) | 179,805 | ||||||
| 14,622 | First Interstate BancSystem, Inc. | 466,442 | ||||||
| 28,518 | First Merchants Corp. | 802,782 | ||||||
| 50,203 | First Midwest Bancorp, Inc. | 969,420 | ||||||
| 14,262 | Flushing Financial Corp. | 305,492 | ||||||
| 22,776 | Glacier Bancorp, Inc. | 643,650 | ||||||
| 9,256 | Great Southern Bancorp, Inc. | 382,736 | ||||||
| 19,163 | Hanmi Financial Corp. | 479,075 | ||||||
| 5,810 | Heartland Financial USA, Inc. | 217,584 | ||||||
| 10,492 | Hilltop Holdings, Inc.* | 259,152 | ||||||
| 31,795 | International Bancshares Corp. | 980,876 | ||||||
| 57,321 | OFG Bancorp | 610,469 | ||||||
| 46,698 | Old National Bancorp | 686,461 | ||||||
| 5,661 | PrivateBancorp, Inc. | 256,104 | ||||||
| 24,434 | Prosperity Bancshares, Inc. | 1,355,354 | ||||||
| 17,515 | Renasant Corp. | 590,956 | ||||||
| 52,008 | Sterling Bancorp | 936,144 | ||||||
| 5,101 | TriCo Bancshares | 134,258 | ||||||
| 7,338 | UMB Financial Corp. | 455,323 | ||||||
| 82,473 | Umpqua Holdings Corp. | 1,260,187 | ||||||
| 42,299 | United Community Banks, Inc. | 912,389 | ||||||
| 9,870 | WesBanco, Inc. | 324,822 | ||||||
|
| |||||||
| 19,881,111 | ||||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Biotechnology – 2.1% | ||||||||
| 18,231 | Acorda Therapeutics, Inc.* | 322,689 | ||||||
| 14,236 | Array BioPharma, Inc.* | 81,145 | ||||||
| 52,516 | Exelixis, Inc.* | 556,144 | ||||||
| 1,159 | Five Prime Therapeutics, Inc.* | 56,246 | ||||||
| 15,470 | Genomic Health, Inc.* | 461,161 | ||||||
| 13,496 | Ironwood Pharmaceuticals, Inc.* | 172,344 | ||||||
| 18,332 | Myriad Genetics, Inc.*(a) | 361,324 | ||||||
| 199,739 | PDL BioPharma, Inc. | 643,160 | ||||||
| 1,271 | Puma Biotechnology, Inc.* | 48,679 | ||||||
| 6,363 | Retrophin, Inc.* | 119,942 | ||||||
|
| |||||||
| 2,822,834 | ||||||||
|
| |||||||
| Building Products – 0.5% | ||||||||
| 2,334 | Continental Building Products, Inc.* | 47,730 | ||||||
| 6,832 | Universal Forest Products, Inc. | 587,484 | ||||||
|
| |||||||
| 635,214 | ||||||||
|
| |||||||
| Capital Markets – 1.3% | ||||||||
| 13,073 | Evercore Partners, Inc. Class A | 702,674 | ||||||
| 19,601 | Piper Jaffray Cos.* | 1,108,436 | ||||||
|
| |||||||
| 1,811,110 | ||||||||
|
| |||||||
| Chemicals – 2.6% | ||||||||
| 21,248 | GCP Applied Technologies, Inc.* | 549,261 | ||||||
| 11,734 | Innophos Holdings, Inc. | 537,886 | ||||||
| 1,935 | Innospec, Inc. | 116,584 | ||||||
| 3,888 | Koppers Holdings, Inc.* | 127,332 | ||||||
| 14,098 | Minerals Technologies, Inc. | 947,386 | ||||||
| 8,754 | Stepan Co. | 621,797 | ||||||
| 7,287 | The Chemours Co. | 119,725 | ||||||
| 10,016 | Trinseo SA | 525,339 | ||||||
|
| |||||||
| 3,545,310 | ||||||||
|
| |||||||
| Commercial Services & Supplies – 2.5% | ||||||||
| 14,464 | ACCO Brands Corp.* | 160,550 | ||||||
| 28,025 | Brady Corp. Class A | 927,627 | ||||||
| 9,352 | Essendant, Inc. | 143,553 | ||||||
| 47,710 | Kimball International, Inc. Class B | 596,375 | ||||||
| 26,439 | McGrath RentCorp | 795,814 | ||||||
| 23,018 | Quad Graphics, Inc. | 546,908 | ||||||
| 3,189 | The Brink’s Co. | 126,125 | ||||||
| 6,616 | West Corp. | 130,468 | ||||||
|
| |||||||
| 3,427,420 | ||||||||
|
| |||||||
| Communications Equipment – 1.9% | ||||||||
| 507 | Calix, Inc.* | 3,169 | ||||||
| 35,129 | Finisar Corp.* | 961,832 | ||||||
| 4,448 | InterDigital, Inc. | 314,251 | ||||||
| 24,372 | Ixia* | 291,245 | ||||||
| 10,787 | NETGEAR, Inc.* | 544,743 | ||||||
| 13,470 | ShoreTel, Inc.* | 89,576 | ||||||
| 62,080 | Viavi Solutions, Inc.* | 442,010 | ||||||
|
| |||||||
| 2,646,826 | ||||||||
|
| |||||||
| Construction & Engineering – 1.4% | ||||||||
| 40,995 | Aegion Corp.* | 758,817 | ||||||
| 19,008 | EMCOR Group, Inc. | 1,149,224 | ||||||
|
| |||||||
| 1,908,041 | ||||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 61 |
GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND
Schedule of Investments (continued)
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Consumer Finance – 0.7% | ||||||||
| 21,854 | Enova International, Inc.* | $ | 205,427 | |||||
| 11,521 | EZCORP, Inc. Class A* | 112,330 | ||||||
| 15,088 | Nelnet, Inc. Class A | 591,148 | ||||||
|
| |||||||
| 908,905 | ||||||||
|
| |||||||
| Containers & Packaging – 0.3% | ||||||||
| 7,994 | Greif, Inc. Class A | 374,599 | ||||||
|
| |||||||
| Diversified Consumer Services – 2.1% | ||||||||
| 29,421 | Bridgepoint Education, Inc.* | 198,886 | ||||||
| 4,199 | Capella Education Co. | 306,947 | ||||||
| 5,163 | DeVry Education Group, Inc. | 117,200 | ||||||
| 44,826 | Houghton Mifflin Harcourt Co.* | 567,049 | ||||||
| 37,415 | K12, Inc.* | 405,579 | ||||||
| 57,427 | Regis Corp.* | 728,174 | ||||||
| 15,290 | Sotheby’s(a) | 548,605 | ||||||
|
| |||||||
| 2,872,440 | ||||||||
|
| |||||||
| Electric Utilities – 1.9% | ||||||||
| 19,307 | ALLETE, Inc. | 1,183,326 | ||||||
| 30,932 | Portland General Electric Co. | 1,349,873 | ||||||
|
| |||||||
| 2,533,199 | ||||||||
|
| |||||||
| Electrical Equipment – 1.1% | ||||||||
| 1,156 | AZZ, Inc. | 61,557 | ||||||
| 31,921 | Babcock & Wilcox Enterprises, Inc.* | 502,437 | ||||||
| 3,822 | Encore Wire Corp. | 130,521 | ||||||
| 2,041 | EnerSys | 132,930 | ||||||
| 33,412 | General Cable Corp. | 467,768 | ||||||
| 26,942 | LSI Industries, Inc. | 231,701 | ||||||
|
| |||||||
| 1,526,914 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components – 3.5% | ||||||||
| 35,685 | AVX Corp. | 500,304 | ||||||
| 40,294 | Benchmark Electronics, Inc.* | 1,013,394 | ||||||
| 19,296 | II-VI, Inc.* | 536,429 | ||||||
| 14,465 | Insight Enterprises, Inc.* | 416,447 | ||||||
| 28,883 | Kimball Electronics, Inc.* | 401,474 | ||||||
| 1,644 | Methode Electronics, Inc. | 51,293 | ||||||
| 2,950 | Plexus Corp.* | 135,139 | ||||||
| 9,903 | Rogers Corp.* | 539,020 | ||||||
| 4,875 | Sanmina Corp.* | 134,794 | ||||||
| 53,399 | TTM Technologies, Inc.* | 702,197 | ||||||
| 19,589 | Vishay Intertechnology, Inc. | 276,205 | ||||||
|
| |||||||
| 4,706,696 | ||||||||
|
| |||||||
| Energy Equipment & Services – 1.5% | ||||||||
| 17,157 | Archrock, Inc. | 199,021 | ||||||
| 7,087 | Atwood Oceanics, Inc.(a) | 54,074 | ||||||
| 84,974 | McDermott International, Inc.* | 436,766 | ||||||
| 18,477 | Oil States International, Inc.* | 540,452 | ||||||
| 63,563 | Pioneer Energy Services Corp.* | 225,649 | ||||||
| 62,670 | Seadrill Ltd.*(a) | 133,487 | ||||||
| 25,247 | Unit Corp.* | 432,481 | ||||||
|
| |||||||
| 2,021,930 | ||||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Equity Real Estate Investment Trusts (REITs) – 7.1% | ||||||||
| 56,642 | CBL & Associates Properties, Inc. | 606,069 | ||||||
| 28,994 | Colony Starwood Homes | 841,116 | ||||||
| 33,960 | Cousins Properties, Inc. | 263,869 | ||||||
| 17,800 | FelCor Lodging Trust, Inc. | 113,742 | ||||||
| 46,105 | First Industrial Realty Trust, Inc. | 1,217,633 | ||||||
| 4,413 | Getty Realty Corp. | 100,307 | ||||||
| 7,575 | Global Net Lease, Inc. | 56,131 | ||||||
| 36,416 | Hudson Pacific Properties, Inc. | 1,224,306 | ||||||
| 46,070 | Mack-Cali Realty Corp. | 1,183,078 | ||||||
| 7,693 | Monmouth Real Estate Investment Corp. | 105,163 | ||||||
| 71,086 | New Senior Investment Group, Inc. | 740,716 | ||||||
| 10,840 | Pebblebrook Hotel Trust | 263,195 | ||||||
| 44,087 | Pennsylvania Real Estate Investment Trust | 860,137 | ||||||
| 17,688 | Physicians Realty Trust | 349,692 | ||||||
| 13,062 | QTS Realty Trust, Inc. Class A | 600,330 | ||||||
| 7,948 | Retail Opportunity Investments Corp. | 159,834 | ||||||
| 7,396 | Rexford Industrial Realty, Inc. | 155,760 | ||||||
| 60,243 | Summit Hotel Properties, Inc. | 782,557 | ||||||
|
| |||||||
| 9,623,635 | ||||||||
|
| |||||||
| Food Products – 1.2% | ||||||||
| 3,452 | Calavo Growers, Inc. | 204,186 | ||||||
| 28,505 | Darling Ingredients, Inc.* | 387,668 | ||||||
| 12,956 | Fresh Del Monte Produce, Inc. | 781,894 | ||||||
| 3,738 | John B. Sanfilippo & Son, Inc. | 189,442 | ||||||
|
| |||||||
| 1,563,190 | ||||||||
|
| |||||||
| Gas Utilities – 2.6% | ||||||||
| 15,864 | Northwest Natural Gas Co. | 932,803 | ||||||
| 20,662 | ONE Gas, Inc. | 1,266,167 | ||||||
| 17,614 | Southwest Gas Corp. | 1,276,311 | ||||||
|
| |||||||
| 3,475,281 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies* – 0.7% | ||||||||
| 14,310 | AngioDynamics, Inc. | 228,101 | ||||||
| 4,830 | Cynosure, Inc. Class A | 206,000 | ||||||
| 8,248 | Masimo Corp. | 453,640 | ||||||
|
| |||||||
| 887,741 | ||||||||
|
| |||||||
| Health Care Providers & Services – 1.3% | ||||||||
| 6,202 | Magellan Health, Inc.* | 319,093 | ||||||
| 4,264 | Molina Healthcare, Inc.* | 232,004 | ||||||
| 26,100 | Owens & Minor, Inc. | 846,945 | ||||||
| 18,579 | Triple-S Management Corp. Class B* | 384,214 | ||||||
|
| |||||||
| 1,782,256 | ||||||||
|
| |||||||
| Health Care Technology* – 0.1% | ||||||||
| 4,203 | Medidata Solutions, Inc. | 201,702 | ||||||
|
| |||||||
| Hotels, Restaurants & Leisure – 1.8% | ||||||||
| 17,005 | Bob Evans Farms, Inc. | 700,946 | ||||||
| 11,840 | Boyd Gaming Corp.* | 211,462 | ||||||
| 21,794 | International Speedway Corp. Class A | 717,023 | ||||||
| 14,556 | La Quinta Holdings, Inc.* | 145,706 | ||||||
| 50,923 | Penn National Gaming, Inc.* | 658,434 | ||||||
|
| |||||||
| 2,433,571 | ||||||||
|
| |||||||
| 62 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Household Durables – 0.5% | ||||||||
| 6,605 | CSS Industries, Inc. | $ | 165,786 | |||||
| 18,921 | KB Home(a) | 275,111 | ||||||
| 12,186 | La-Z-Boy, Inc. | 285,152 | ||||||
|
| |||||||
| 726,049 | ||||||||
|
| |||||||
| Household Products* – 0.3% | ||||||||
| 19,472 | Central Garden & Pet Co. Class A | 454,476 | ||||||
|
| |||||||
| Independent Power and Renewable Electricity Producers – 1.3% | ||||||||
| 5,068 | Atlantica Yield PLC | 91,123 | ||||||
| 28,699 | NRG Yield, Inc. Class C | 441,965 | ||||||
| 18,357 | Ormat Technologies, Inc. | 885,358 | ||||||
| 16,069 | Pattern Energy Group, Inc. | 359,142 | ||||||
|
| |||||||
| 1,777,588 | ||||||||
|
| |||||||
| Insurance – 3.5% | ||||||||
| 60,646 | American Equity Investment Life Holding Co. | 1,087,383 | ||||||
| 19,814 | Argo Group International Holdings Ltd. | 1,101,658 | ||||||
| 37,701 | CNO Financial Group, Inc. | 568,531 | ||||||
| 7,880 | FBL Financial Group, Inc. Class A | 498,804 | ||||||
| 92,971 | Genworth Financial, Inc. Class A* | 384,900 | ||||||
| 24,818 | Heritage Insurance Holdings, Inc. | 292,604 | ||||||
| 62,724 | Maiden Holdings Ltd. | 856,183 | ||||||
|
| |||||||
| 4,790,063 | ||||||||
|
| |||||||
| Internet & Direct Marketing Retail* – 1.0% | ||||||||
| 23,720 | FTD Cos., Inc. | 477,246 | ||||||
| 29,632 | Liberty TripAdvisor Holdings, Inc. Class A | 657,831 | ||||||
| 5,009 | Shutterfly, Inc. | 245,441 | ||||||
|
| |||||||
| 1,380,518 | ||||||||
|
| |||||||
| Internet Software & Services – 0.5% | ||||||||
| 43,574 | Bankrate, Inc.* | 339,877 | ||||||
| 45,564 | EarthLink Holdings Corp. | 260,626 | ||||||
| 25,877 | Marchex, Inc. Class B* | 65,210 | ||||||
|
| |||||||
| 665,713 | ||||||||
|
| |||||||
| IT Services – 0.6% | ||||||||
| 18,202 | ManTech International Corp. Class A | 706,784 | ||||||
| 12,071 | Travelport Worldwide Ltd. | 170,442 | ||||||
|
| |||||||
| 877,226 | ||||||||
|
| |||||||
| Leisure Products – 0.5% | ||||||||
| 70,698 | Callaway Golf Co. | 721,827 | ||||||
|
| |||||||
| Machinery – 2.3% | ||||||||
| 3,023 | Altra Industrial Motion Corp. | 89,179 | ||||||
| 12,123 | Astec Industries, Inc. | 671,129 | ||||||
| 2,776 | Briggs & Stratton Corp. | 51,689 | ||||||
| 9,793 | Chart Industries, Inc.* | 271,658 | ||||||
| 1,227 | CLARCOR, Inc. | 76,332 | ||||||
| 3,874 | Hyster-Yale Materials Handling, Inc. | 225,506 | ||||||
| 6,354 | Kadant, Inc. | 328,184 | ||||||
| 13,414 | Miller Industries, Inc. | 294,437 | ||||||
| 5,245 | Standex International Corp. | 400,718 | ||||||
| 3,635 | Tennant Co. | 228,823 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Machinery – (continued) | ||||||||
| 5,182 | TriMas Corp.* | 93,017 | ||||||
| 39,841 | Wabash National Corp.* | 448,211 | ||||||
|
| |||||||
| 3,178,883 | ||||||||
|
| |||||||
| Media – 0.5% | ||||||||
| 37,860 | Gannett Co., Inc. | 294,172 | ||||||
| 17,388 | New Media Investment Group, Inc. | 250,387 | ||||||
| 7,215 | Time, Inc. | 93,795 | ||||||
|
| |||||||
| 638,354 | ||||||||
|
| |||||||
| Metals & Mining – 3.0% | ||||||||
| 46,301 | AK Steel Holding Corp.*(a) | 240,765 | ||||||
| 19,319 | Carpenter Technology Corp. | 610,674 | ||||||
| 43,491 | Cliffs Natural Resources, Inc.*(a) | 240,070 | ||||||
| 5,065 | Coeur Mining, Inc.* | 56,627 | ||||||
| 62,942 | Commercial Metals Co. | 988,819 | ||||||
| 16,707 | Materion Corp. | 506,222 | ||||||
| 5,667 | Ryerson Holding Corp.* | 58,087 | ||||||
| 34,209 | Schnitzer Steel Industries, Inc. Class A | 826,147 | ||||||
| 6,291 | SunCoke Energy, Inc. | 64,231 | ||||||
| 10,211 | Worthington Industries, Inc. | 479,917 | ||||||
|
| |||||||
| 4,071,559 | ||||||||
|
| |||||||
| Mortgage Real Estate Investment Trusts (REITs) – 3.5% | ||||||||
| 158,457 | Anworth Mortgage Asset Corp. | 778,024 | ||||||
| 14,758 | Capstead Mortgage Corp. | 140,349 | ||||||
| 49,427 | CYS Investments, Inc. | 426,061 | ||||||
| 70,622 | Invesco Mortgage Capital, Inc.(b) | 1,054,386 | ||||||
| 60,337 | MTGE Investment Corp. | 1,028,746 | ||||||
| 3,198 | New Residential Investment Corp. | 44,644 | ||||||
| 46,712 | PennyMac Mortgage Investment Trust | 710,957 | ||||||
| 50,688 | Western Asset Mortgage Capital Corp. | 513,469 | ||||||
|
| |||||||
| 4,696,636 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels – 2.5% | ||||||||
| 8,490 | Callon Petroleum Co.* | 110,285 | ||||||
| 17,296 | Contango Oil & Gas Co.* | 135,428 | ||||||
| 9,055 | Delek US Holdings, Inc. | 153,029 | ||||||
| 182,904 | Denbury Resources, Inc.*(a) | 437,141 | ||||||
| 53,867 | EP Energy Corp. Class A*(a) | 191,767 | ||||||
| 4,352 | Green Plains, Inc. | 113,152 | ||||||
| 16,067 | Matador Resources Co.* | 350,421 | ||||||
| 57,637 | Oasis Petroleum, Inc.* | 604,612 | ||||||
| 16,737 | PDC Energy, Inc.* | 1,026,480 | ||||||
| 6,655 | RSP Permian, Inc.* | 240,245 | ||||||
|
| |||||||
| 3,362,560 | ||||||||
|
| |||||||
| Paper & Forest Products – 0.7% | ||||||||
| 18,714 | KapStone Paper and Packaging Corp. | 339,472 | ||||||
| 13,627 | Louisiana-Pacific Corp.* | 250,055 | ||||||
| 10,348 | Schweitzer-Mauduit International, Inc. | 381,945 | ||||||
|
| |||||||
| 971,472 | ||||||||
|
| |||||||
| Pharmaceuticals* – 0.2% | ||||||||
| 13,617 | Horizon Pharma PLC | 227,676 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 63 |
GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND
Schedule of Investments (continued)
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Professional Services – 2.2% | ||||||||
| 22,642 | FTI Consulting, Inc.* | $ | 882,132 | |||||
| 8,101 | Heidrick & Struggles International, Inc. | 149,869 | ||||||
| 15,396 | Huron Consulting Group, Inc.* | 862,946 | ||||||
| 10,101 | Insperity, Inc. | 759,595 | ||||||
| 2,636 | Navigant Consulting, Inc.* | 61,682 | ||||||
| 22,711 | RPX Corp.* | 221,659 | ||||||
| 5,855 | TrueBlue, Inc.* | 102,463 | ||||||
|
| |||||||
| 3,040,346 | ||||||||
|
| |||||||
| Real Estate Management & Development – 0.7% | ||||||||
| 3,947 | Alexander & Baldwin, Inc. | 164,945 | ||||||
| 39,749 | Kennedy-Wilson Holdings, Inc. | 818,830 | ||||||
|
| |||||||
| 983,775 | ||||||||
|
| |||||||
| Road & Rail – 0.1% | ||||||||
| 5,741 | ArcBest Corp. | 114,246 | ||||||
| 2,581 | Marten Transport Ltd. | 52,910 | ||||||
|
| |||||||
| 167,156 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment – 1.7% | ||||||||
| 8,131 | Advanced Energy Industries, Inc.* | 387,849 | ||||||
| 4,664 | Cabot Microelectronics Corp. | 257,733 | ||||||
| 18,367 | Entegris, Inc.* | 292,035 | ||||||
| 19,507 | MaxLinear, Inc. Class A* | 364,976 | ||||||
| 80,032 | Photronics, Inc.* | 776,310 | ||||||
| 4,476 | Tessera Technologies, Inc. | 166,060 | ||||||
|
| |||||||
| 2,244,963 | ||||||||
|
| |||||||
| Software – 1.7% | ||||||||
| 30,194 | Mentor Graphics Corp. | 872,607 | ||||||
| 1,721 | MicroStrategy, Inc. Class A* | 335,268 | ||||||
| 28,930 | Progress Software Corp.* | 778,506 | ||||||
| 2,515 | QAD, Inc. Class A | 60,486 | ||||||
| 15,673 | TiVo Corp.* | 311,109 | ||||||
|
| |||||||
| 2,357,976 | ||||||||
|
| |||||||
| Specialty Retail – 4.0% | ||||||||
| 40,824 | Aaron’s, Inc. | 1,008,761 | ||||||
| 12,763 | Abercrombie & Fitch Co. Class A | 186,467 | ||||||
| 40,309 | American Eagle Outfitters, Inc. | 686,865 | ||||||
| 4,745 | Barnes & Noble, Inc. | 48,874 | ||||||
| 3,445 | Caleres, Inc. | 86,160 | ||||||
| 59,803 | Chico’s FAS, Inc. | 697,901 | ||||||
| 5,011 | DSW, Inc. Class A | 104,079 | ||||||
| 13,826 | Group 1 Automotive, Inc. | 833,293 | ||||||
| 40,423 | Rent-A-Center, Inc. | 407,868 | ||||||
| 23,190 | The Cato Corp. Class A | 688,047 | ||||||
| 36,851 | The Finish Line, Inc. Class A | 725,596 | ||||||
|
| |||||||
| 5,473,911 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals* – 0.5% | ||||||||
| 13,347 | Cray, Inc. | 277,617 | ||||||
| 18,851 | Super Micro Computer, Inc. | 446,769 | ||||||
|
| |||||||
| 724,386 | ||||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods – 0.2% | ||||||||
| 4,980 | Fossil Group, Inc.* | 135,805 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Textiles, Apparel & Luxury Goods – (continued) | ||||||||
| 3,898 | Movado Group, Inc. | 85,951 | ||||||
|
| |||||||
| 221,756 | ||||||||
|
| |||||||
| Thrifts & Mortgage Finance – 4.9% | ||||||||
| 62,364 | Beneficial Bancorp, Inc. | 904,278 | ||||||
| 35,298 | Capitol Federal Financial, Inc. | 517,822 | ||||||
| 46,677 | Dime Community Bancshares, Inc. | 756,167 | ||||||
| 17,620 | HomeStreet, Inc.* | 485,431 | ||||||
| 53,668 | Oritani Financial Corp. | 839,904 | ||||||
| 86,417 | Radian Group, Inc. | 1,174,407 | ||||||
| 8,498 | TrustCo Bank Corp. NY | 59,486 | ||||||
| 40,870 | Washington Federal, Inc. | 1,113,707 | ||||||
| 23,653 | WSFS Financial Corp. | 829,038 | ||||||
|
| |||||||
| 6,680,240 | ||||||||
|
| |||||||
| Trading Companies & Distributors – 1.5% | ||||||||
| 37,118 | Aircastle Ltd. | 762,775 | ||||||
| 4,091 | Applied Industrial Technologies, Inc. | 207,823 | ||||||
| 10,968 | H&E Equipment Services, Inc. | 153,003 | ||||||
| 57,435 | MRC Global, Inc.* | 846,592 | ||||||
|
| |||||||
| 1,970,193 | ||||||||
|
| |||||||
| Wireless Telecommunication Services – 0.2% | ||||||||
| 13,936 | Spok Holdings, Inc. | 251,545 | ||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $125,432,513) | $ | 132,279,369 | ||||||
|
| |||||||
| Shares | Distribution Rate | Value | ||||||
| Investment Company(c)(d) – 1.2% | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||||
1,659,749 | 0.300 | % | $ | 1,659,749 | ||||
| (Cost $1,659,749) | ||||||||
| ||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE |
| |||||||
| (Cost $127,092,262) | $ | 133,939,118 | ||||||
| ||||||||
| Securities Lending Reinvestment Vehicle(c)(d) – 1.7% | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||||
2,354,525 | 0.300 | % | $ | 2,354,525 | ||||
| (Cost $2,354,525) | ||||||||
| ||||||||
| TOTAL INVESTMENTS – 100.3% | ||||||||
| (Cost $129,446,787) | $ | 136,293,643 | ||||||
| ||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (0.3)% | (444,275 | ) | ||||||
| ||||||||
| NET ASSETS – 100.0% | $ | 135,849,368 | ||||||
| ||||||||
| 64 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(c) | Represents an Affiliated Fund. | |
(d) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on October 31, 2016. | |
| ||
Investment Abbreviations: | ||
PLC | —Public Limited Company | |
| ||
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At October 31, 2016, the Fund had the following futures contracts:
| Type | Number of Contracts Long (Short) | Expiration Date | Current Value | Unrealized Gain (Loss) | ||||||
Russell Mini 2000 Index | 21 | December 2016 | $2,497,530 | $ | (40,600 | ) | ||||
| The accompanying notes are an integral part of these financial statements. | 65 |
GOLDMAN SACHS U.S. EQUITY INSIGHTS FUND
Schedule of Investments
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – 97.8% | ||||||||
| Aerospace & Defense – 3.3% | ||||||||
| 37,282 | L-3 Communications Holdings, Inc. | $ | 5,105,397 | |||||
| 24,572 | Northrop Grumman Corp. | 5,626,988 | ||||||
| 44,972 | Raytheon Co. | 6,143,625 | ||||||
|
| |||||||
| 16,876,010 | ||||||||
|
| |||||||
| Airlines – 4.6% | ||||||||
| 56,876 | Alaska Air Group, Inc. | 4,107,585 | ||||||
| 146,235 | Delta Air Lines, Inc. | 6,108,236 | ||||||
| 239,943 | JetBlue Airways Corp.* | 4,194,204 | ||||||
| 84,859 | Southwest Airlines Co. | 3,398,603 | ||||||
| 104,785 | United Continental Holdings, Inc.* | 5,892,060 | ||||||
|
| |||||||
| 23,700,688 | ||||||||
|
| |||||||
| Auto Components – 0.8% | ||||||||
| 23,625 | Lear Corp. | 2,900,677 | ||||||
| 19,711 | Visteon Corp. | 1,391,794 | ||||||
|
| |||||||
| 4,292,471 | ||||||||
|
| |||||||
| Automobiles – 0.1% | ||||||||
| 23,015 | General Motors Co. | 727,274 | ||||||
|
| |||||||
| Banks – 4.2% | ||||||||
| 207,528 | Citizens Financial Group, Inc. | 5,466,288 | ||||||
| 177,763 | JPMorgan Chase & Co. | 12,311,865 | ||||||
| 69,288 | SunTrust Banks, Inc. | 3,133,896 | ||||||
| 20,647 | Wells Fargo & Co. | 949,969 | ||||||
|
| |||||||
| 21,862,018 | ||||||||
|
| |||||||
| Beverages – 0.1% | ||||||||
| 4,085 | PepsiCo., Inc. | 437,912 | ||||||
|
| |||||||
| Biotechnology – 4.0% | ||||||||
| 79,532 | AbbVie, Inc. | 4,436,295 | ||||||
| 36,756 | Alexion Pharmaceuticals, Inc.* | 4,796,658 | ||||||
| 48,984 | Amgen, Inc. | 6,914,581 | ||||||
| 6,737 | Biogen, Inc.* | 1,887,573 | ||||||
| 18,584 | Celgene Corp.* | 1,898,913 | ||||||
| 6,896 | Vertex Pharmaceuticals, Inc.* | 523,131 | ||||||
|
| |||||||
| 20,457,151 | ||||||||
|
| |||||||
| Building Products – 0.1% | ||||||||
| 6,412 | Owens Corning | 312,777 | ||||||
|
| |||||||
| Capital Markets – 3.4% | ||||||||
| 24,959 | Ameriprise Financial, Inc. | 2,206,126 | ||||||
| 87,665 | Morgan Stanley | 2,942,914 | ||||||
| 84,148 | State Street Corp. | 5,908,031 | ||||||
| 148,823 | The Bank of New York Mellon Corp. | 6,439,571 | ||||||
|
| |||||||
| 17,496,642 | ||||||||
|
| |||||||
| Chemicals – 2.1% | ||||||||
| 41,428 | Air Products & Chemicals, Inc. | 5,527,324 | ||||||
| 84,092 | Axalta Coating Systems Ltd.* | 2,112,391 | ||||||
| 9,707 | Cabot Corp. | 506,123 | ||||||
| 19,013 | Celanese Corp. Series A | 1,386,428 | ||||||
| 4,126 | The Dow Chemical Co. | 222,020 | ||||||
| 5,270 | The Sherwin-Williams Co. | 1,290,412 | ||||||
|
| |||||||
| 11,044,698 | ||||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Communications Equipment* – 0.2% | ||||||||
| 7,005 | F5 Networks, Inc. | $ | 968,161 | |||||
|
| |||||||
| Consumer Finance – 1.2% | ||||||||
| 138,610 | Ally Financial, Inc. | 2,504,683 | ||||||
| 29,262 | Capital One Financial Corp. | 2,166,559 | ||||||
| 55,116 | Synchrony Financial | 1,575,766 | ||||||
|
| |||||||
| 6,247,008 | ||||||||
|
| |||||||
| Containers & Packaging – 0.8% | ||||||||
| 66,475 | Crown Holdings, Inc.* | 3,606,269 | ||||||
| 12,949 | International Paper Co. | 583,093 | ||||||
|
| |||||||
| 4,189,362 | ||||||||
|
| |||||||
| Diversified Financial Services – 0.5% | ||||||||
| 16,492 | Berkshire Hathaway, Inc. Class B* | 2,379,796 | ||||||
| 9,089 | Voya Financial, Inc. | 277,669 | ||||||
|
| |||||||
| 2,657,465 | ||||||||
|
| |||||||
| Diversified Telecommunication Services – 3.8% | ||||||||
| 288,411 | AT&T, Inc. | 10,610,640 | ||||||
| 42,906 | Level 3 Communications, Inc.* | 2,409,172 | ||||||
| 131,577 | Verizon Communications, Inc. | 6,328,854 | ||||||
|
| |||||||
| 19,348,666 | ||||||||
|
| |||||||
| Electric Utilities – 1.4% | ||||||||
| 171,950 | Great Plains Energy, Inc. | 4,890,258 | ||||||
| 27,468 | PG&E Corp. | 1,706,312 | ||||||
| 16,634 | Xcel Energy, Inc. | 691,143 | ||||||
|
| |||||||
| 7,287,713 | ||||||||
|
| |||||||
| Electrical Equipment – 1.0% | ||||||||
| 85,658 | AMETEK, Inc. | 3,777,518 | ||||||
| 17,593 | Eaton Corp. PLC | 1,121,905 | ||||||
|
| |||||||
| 4,899,423 | ||||||||
|
| |||||||
| Energy Equipment & Services – 2.2% | ||||||||
| 91,880 | Baker Hughes, Inc. | 5,090,152 | ||||||
| 96,244 | FMC Technologies, Inc.* | 3,105,794 | ||||||
| 38,533 | Oceaneering International, Inc. | 917,085 | ||||||
| 27,120 | Schlumberger Ltd. | 2,121,598 | ||||||
|
| |||||||
| 11,234,629 | ||||||||
|
| |||||||
| Equity Real Estate Investment Trusts (REITs) – 2.9% | ||||||||
| 57,331 | American Tower Corp. | 6,718,620 | ||||||
| 32,147 | Crown Castle International Corp. | 2,925,055 | ||||||
| 9,830 | Equinix, Inc. | 3,512,062 | ||||||
| 58,310 | Forest City Realty Trust, Inc. Class A | 1,258,913 | ||||||
| 8,301 | Iron Mountain, Inc. | 279,993 | ||||||
|
| |||||||
| 14,694,643 | ||||||||
|
| |||||||
| Food & Staples Retailing – 3.2% | ||||||||
| 50,501 | CVS Health Corp. | 4,247,134 | ||||||
| 117,732 | Wal-Mart Stores, Inc. | 8,243,595 | ||||||
| 48,946 | Walgreens Boots Alliance, Inc. | 4,049,302 | ||||||
|
| |||||||
| 16,540,031 | ||||||||
|
| |||||||
| 66 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY INSIGHTS FUND
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Food Products – 1.0% | ||||||||
| 31,357 | Archer-Daniels-Midland Co. | $ | 1,366,225 | |||||
| 9,881 | Bunge Ltd. | 612,721 | ||||||
| 6,744 | ConAgra Foods, Inc. | 324,926 | ||||||
| 25,542 | Kellogg Co. | 1,918,970 | ||||||
| 9,731 | Tyson Foods, Inc. Class A | 689,441 | ||||||
|
| |||||||
| 4,912,283 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies – 4.2% | ||||||||
| 43,303 | Baxter International, Inc. | 2,060,790 | ||||||
| 8,428 | Boston Scientific Corp.* | 185,416 | ||||||
| 83,731 | Danaher Corp. | 6,577,070 | ||||||
| 139,255 | Hologic, Inc.* | 5,014,573 | ||||||
| 95,808 | Medtronic PLC | 7,858,172 | ||||||
|
| |||||||
| 21,696,021 | ||||||||
|
| |||||||
| Health Care Providers & Services – 3.3% | ||||||||
| 61,560 | Express Scripts Holding Co.* | 4,149,144 | ||||||
| 34,797 | McKesson Corp. | 4,425,134 | ||||||
| 59,348 | UnitedHealth Group, Inc. | 8,387,653 | ||||||
| 1,553 | WellCare Health Plans, Inc.* | 176,281 | ||||||
|
| |||||||
| 17,138,212 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure – 1.7% | ||||||||
| 171,830 | International Game Technology PLC | 4,934,957 | ||||||
| 4,081 | McDonald’s Corp. | 459,398 | ||||||
| 13,365 | Vail Resorts, Inc. | 2,130,916 | ||||||
| 11,763 | Yum! Brands, Inc. | 1,014,912 | ||||||
|
| |||||||
| 8,540,183 | ||||||||
|
| |||||||
| Household Durables – 0.2% | ||||||||
| 41,362 | D.R. Horton, Inc. | 1,192,466 | ||||||
|
| |||||||
| Household Products – 2.6% | ||||||||
| 91,480 | Colgate-Palmolive Co. | 6,528,013 | ||||||
| 47,743 | Kimberly-Clark Corp. | 5,462,277 | ||||||
| 16,353 | The Procter & Gamble Co. | 1,419,440 | ||||||
|
| |||||||
| 13,409,730 | ||||||||
|
| |||||||
| Independent Power and Renewable Electricity Producers – 0.4% | ||||||||
| 159,242 | AES Corp. | 1,874,278 | ||||||
|
| |||||||
| Industrial Conglomerates – 0.7% | ||||||||
| 98,164 | General Electric Co. | 2,856,572 | ||||||
| 7,545 | Honeywell International, Inc. | 827,536 | ||||||
|
| |||||||
| 3,684,108 | ||||||||
|
| |||||||
| Insurance – 2.4% | ||||||||
| 68,805 | Lincoln National Corp. | 3,377,637 | ||||||
| 46,382 | Reinsurance Group of America, Inc. | 5,002,763 | ||||||
| 6,320 | The Progressive Corp. | 199,143 | ||||||
| 104,671 | XL Group Ltd. | 3,632,084 | ||||||
|
| |||||||
| 12,211,627 | ||||||||
|
| |||||||
| Internet & Direct Marketing Retail – 2.2% | ||||||||
| 10,455 | Amazon.com, Inc.* | 8,257,568 | ||||||
| 1,991 | Expedia, Inc. | 257,297 | ||||||
| 9,836 | Netflix, Inc.* | 1,228,221 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Internet & Direct Marketing Retail – (continued) | ||||||||
| 1,220 | The Priceline Group, Inc.* | $ | 1,798,561 | |||||
|
| |||||||
| 11,541,647 | ||||||||
|
| |||||||
| Internet Software & Services* – 5.5% | ||||||||
| 8,422 | Alphabet, Inc. Class A | 6,820,978 | ||||||
| 8,445 | Alphabet, Inc. Class C | 6,625,440 | ||||||
| 182,969 | eBay, Inc. | 5,216,446 | ||||||
| 66,132 | Facebook, Inc. Class A | 8,662,631 | ||||||
| 21,561 | Yahoo!, Inc. | 895,860 | ||||||
|
| |||||||
| 28,221,355 | ||||||||
|
| |||||||
| IT Services – 1.2% | ||||||||
| 21,130 | Accenture PLC Class A | 2,456,151 | ||||||
| 13,931 | MasterCard, Inc. Class A | 1,490,895 | ||||||
| 46,880 | PayPal Holdings, Inc.* | 1,953,021 | ||||||
| 4,027 | Vantiv, Inc. Class A* | 235,016 | ||||||
|
| |||||||
| 6,135,083 | ||||||||
|
| |||||||
| Life Sciences Tools & Services – 1.9% | ||||||||
| 12,306 | Mettler-Toledo International, Inc.* | 4,972,608 | ||||||
| 30,996 | Thermo Fisher Scientific, Inc. | 4,557,342 | ||||||
|
| |||||||
| 9,529,950 | ||||||||
|
| |||||||
| Machinery – 1.1% | ||||||||
| 3,298 | Ingersoll-Rand PLC | 221,922 | ||||||
| 95,368 | PACCAR, Inc. | 5,237,611 | ||||||
|
| |||||||
| 5,459,533 | ||||||||
|
| |||||||
| Media – 2.6% | ||||||||
| 18,390 | Comcast Corp. Class A | 1,136,870 | ||||||
| 169,843 | Liberty Global PLC Series C* | 5,401,007 | ||||||
| 14,957 | Time Warner, Inc. | 1,331,023 | ||||||
| 219,310 | Twenty-First Century Fox, Inc. Class A | 5,761,274 | ||||||
|
| |||||||
| 13,630,174 | ||||||||
|
| |||||||
| Metals & Mining – 1.9% | ||||||||
| 61,664 | Nucor Corp. | 3,012,286 | ||||||
| 37,780 | Reliance Steel & Aluminum Co. | 2,598,508 | ||||||
| 146,875 | Steel Dynamics, Inc. | 4,033,188 | ||||||
|
| |||||||
| 9,643,982 | ||||||||
|
| |||||||
| Mortgage Real Estate Investment Trusts (REITs) – 0.4% | ||||||||
| 211,483 | Annaly Capital Management, Inc. | 2,190,964 | ||||||
|
| |||||||
| Multi-Utilities – 2.1% | ||||||||
| 231,212 | CenterPoint Energy, Inc. | 5,271,634 | ||||||
| 230,736 | NiSource, Inc. | 5,366,919 | ||||||
|
| |||||||
| 10,638,553 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels – 3.5% | ||||||||
| 23,676 | Chevron Corp. | 2,480,061 | ||||||
| 10,574 | Cimarex Energy Co. | 1,365,421 | ||||||
| 4,527 | Diamondback Energy, Inc.* | 413,270 | ||||||
| 3,308 | Energen Corp. | 165,830 | ||||||
| 56,325 | Exxon Mobil Corp. | 4,692,999 | ||||||
| 74,158 | Newfield Exploration Co.* | 3,010,073 | ||||||
| 51,792 | Noble Energy, Inc. | 1,785,270 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 67 |
GOLDMAN SACHS U.S. EQUITY INSIGHTS FUND
Schedule of Investments (continued)
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Oil, Gas & Consumable Fuels – (continued) | ||||||||
| 5,701 | Phillips 66 | $ | 462,636 | |||||
| 16,901 | Pioneer Natural Resources Co. | 3,025,617 | ||||||
| 16,806 | World Fuel Services Corp. | 676,442 | ||||||
|
| |||||||
| 18,077,619 | ||||||||
|
| |||||||
| Pharmaceuticals – 3.5% | ||||||||
| 29,057 | Bristol-Myers Squibb Co. | 1,479,292 | ||||||
| 88,569 | Johnson & Johnson | 10,273,118 | ||||||
| 93,813 | Merck & Co., Inc. | 5,508,699 | ||||||
| 10,227 | Mylan NV* | 373,286 | ||||||
| 11,371 | Pfizer, Inc. | 360,574 | ||||||
|
| |||||||
| 17,994,969 | ||||||||
|
| |||||||
| Professional Services – 0.4% | ||||||||
| 26,684 | ManpowerGroup, Inc. | 2,049,331 | ||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment – 3.7% | ||||||||
| 215,280 | Applied Materials, Inc. | 6,260,342 | ||||||
| 58,844 | KLA-Tencor Corp. | 4,419,773 | ||||||
| 129,950 | Maxim Integrated Products, Inc. | 5,149,919 | ||||||
| 42,045 | Teradyne, Inc. | 979,228 | ||||||
| 33,981 | Texas Instruments, Inc. | 2,407,554 | ||||||
|
| |||||||
| 19,216,816 | ||||||||
|
| |||||||
| Software – 4.6% | ||||||||
| 25,220 | Activision Blizzard, Inc. | 1,088,747 | ||||||
| 11,730 | Adobe Systems, Inc.* | 1,261,092 | ||||||
| 56,973 | Citrix Systems, Inc.* | 4,831,311 | ||||||
| 132,916 | Microsoft Corp. | 7,964,327 | ||||||
| 61,583 | Nuance Communications, Inc.* | 863,394 | ||||||
| 205,650 | Oracle Corp. | 7,901,073 | ||||||
|
| |||||||
| 23,909,944 | ||||||||
|
| |||||||
| Specialty Retail – 1.0% | ||||||||
| 33,435 | Lowe’s Cos., Inc. | 2,228,443 | ||||||
| 38,120 | The TJX Cos., Inc. | 2,811,350 | ||||||
|
| |||||||
| 5,039,793 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals – 3.6% | ||||||||
| 128,698 | Apple, Inc.(a) | 14,612,371 | ||||||
| 287,672 | HP, Inc. | 4,168,367 | ||||||
|
| |||||||
| 18,780,738 | ||||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods – 1.1% | ||||||||
| 109,303 | NIKE, Inc. Class B | 5,484,825 | ||||||
|
| |||||||
| Tobacco – 0.5% | ||||||||
| 25,129 | Philip Morris International, Inc. | 2,423,441 | ||||||
|
| |||||||
| Trading Companies & Distributors – 0.6% | ||||||||
| 25,180 | AerCap Holdings NV* | 1,035,150 | ||||||
| 14,214 | Watsco, Inc. | 1,951,440 | ||||||
|
| |||||||
| 2,986,590 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $482,701,210) | $ | 502,888,957 | ||||||
|
| |||||||
| Shares | Distribution Rate | Value | ||||||
| Investment Company(b)(c) – 0.9% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
| 4,745,871 | 0.300% | $ | 4,745,871 | |||||
| (Cost $4,745,871) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS – 98.7% | ||||||||
| (Cost $487,447,081) | $ | 507,634,828 | ||||||
|
| |||||||
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 1.3% | 6,815,672 | ||||||
|
| |||||||
| NET ASSETS – 100.0% | $ | 514,450,500 | ||||||
|
| |||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(b) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on October 31, 2016. | |
(c) | Represents an Affiliated Fund. | |
| ||
Investment Abbreviations: | ||
PLC | —Public Limited Company | |
| ||
| 68 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY INSIGHTS FUND
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At October 31, 2016, the Fund had the following futures contracts:
| Type | Number of Contracts Long (Short) | Expiration Date | Current Value | Unrealized Gain (Loss) | ||||||||
S&P 500 E-Mini Index | 82 | December 2016 | $ | 8,692,410 | $ | (144,857 | ) | |||||
| The accompanying notes are an integral part of these financial statements. | 69 |
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Statements of Assets and Liabilities
October 31, 2016
| Large Cap Growth Insights Fund | ||||||
| Assets: | ||||||
Investments of unaffiliated issuers, at value (cost $806,746,852, $428,814,202, $232,418,444, $210,673,554, $125,432,513 and $482,701,210)(a) | $ | 819,129,703 | ||||
Investments of affiliated issuers, at value (cost $7,929,150, $3,571,370, $2,983,493, $4,676,926, $1,659,749 and $4,745,871) | 7,929,150 | |||||
Investments in securities lending reinvestment vehicle — affiliated issuer, at value which equals cost | 1,885,575 | |||||
Cash | 13,293,425 | |||||
Variation margin on certain derivative contracts | — | |||||
Receivables: | ||||||
Investments sold | 67,384,391 | |||||
Fund shares sold | 1,347,539 | |||||
Dividends and interest | 745,624 | |||||
Reimbursement from investment adviser | 48,626 | |||||
Securities lending income | — | |||||
Other assets | — | |||||
| Total assets | 911,764,033 | |||||
| Liabilities: | ||||||
Variation margin on certain derivative contracts | 13,275 | |||||
Payables: | ||||||
Investments purchased | 40,360,435 | |||||
Fund shares redeemed | 27,663,145 | |||||
Payable upon return of securities loaned | 1,885,575 | |||||
Management fees | 385,353 | |||||
Distribution and Service fees and Transfer Agency fees | 182,757 | |||||
Accrued expenses | 173,907 | |||||
| Total liabilities | 70,664,447 | |||||
| Net Assets: | ||||||
Paid-in capital | 866,572,835 | |||||
Undistributed net investment income | 6,011,994 | |||||
Accumulated net realized gain (loss) | (43,860,228 | ) | ||||
Net unrealized gain (loss) | 12,374,985 | |||||
| NET ASSETS | $ | 841,099,586 | ||||
Net Assets: | ||||||
Class A | $ | 254,036,234 | ||||
Class C | 48,609,743 | |||||
Institutional | 448,960,880 | |||||
Service | 12,517,147 | |||||
Class IR | 48,132,829 | |||||
Class R | 20,635,002 | |||||
Class R6 | 8,207,751 | |||||
Total Net Assets | $ | 841,099,586 | ||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||
Class A | 10,837,714 | |||||
Class C | 2,289,275 | |||||
Institutional | 18,545,253 | |||||
Service | 540,593 | |||||
Class IR | 2,075,474 | |||||
Class R | 899,827 | |||||
Class R6 | 339,059 | |||||
Net asset value, offering and redemption price per share:(b) | ||||||
Class A | $23.44 | |||||
Class C | 21.23 | |||||
Institutional | 24.21 | |||||
Service | 23.15 | |||||
Class IR | 23.19 | |||||
Class R | 22.93 | |||||
Class R6 | 24.21 | |||||
| (a) | Includes loaned securities having a market value of $1,858,513, 5,582,177, 6,594,064, and 2,209,200 for the Large Cap Growth, Small Cap Equity Insights, Small Cap Growth Insights, and Small Cap Value Insight Funds, respectively. |
| (b) | Maximum public offering price per share for Class A Shares of the Large Cap Growth Insights, Large Cap Value Insights, Small Cap Equity Insights, Small Cap Growth Insights, Small Cap Value Insights and U.S. Equity Insights Funds is $24.80, $18.28, $20.88, $29.99, $41.12 and $43.13, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge assessed on the amount equal to the lesser of the current NAV or the original purchase price of the shares. |
| (c) | Net asset value may not recalculate due to rounding of fractional shares. |
| 70 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
| Large Cap Value Insights Fund | Small Cap Equity Insights Fund | Small Cap Growth Insights Fund | Small Cap Value Insights Fund | U.S. Equity Insights Fund | ||||||||||||||||||||||||
| $ | 425,671,254 | $ | 232,425,780 | $ | 214,518,797 | $ | 132,279,369 | $ | 502,888,957 | |||||||||||||||||||
| 3,571,370 | 2,983,493 | 4,676,926 | 1,659,749 | 4,745,871 | ||||||||||||||||||||||||
| — | 5,850,847 | 6,824,350 | 2,354,525 | — | ||||||||||||||||||||||||
| 6,803,719 | 3,737,906 | 3,365,945 | 2,052,129 | 7,924,844 | ||||||||||||||||||||||||
| — | 12,920 | 10,540 | 7,140 | — | ||||||||||||||||||||||||
| — | 12,717,274 | 2,988,511 | 1,934,586 | 25,562,556 | ||||||||||||||||||||||||
| 2,943,382 | 761,766 | 1,444,776 | 370,159 | 362,282 | ||||||||||||||||||||||||
| 568,569 | 30,623 | 26,463 | 26,176 | 629,957 | ||||||||||||||||||||||||
| 52,211 | 42,646 | 37,381 | 29,390 | 35,913 | ||||||||||||||||||||||||
| — | 11,757 | 14,667 | 3,872 | — | ||||||||||||||||||||||||
| 1,863 | 35,060 | 975 | 313 | 377 | ||||||||||||||||||||||||
| 439,612,368 | 258,610,072 | 233,909,331 | 140,717,408 | 542,150,757 | ||||||||||||||||||||||||
| 12,765 | — | — | — | 15,132 | ||||||||||||||||||||||||
| 1,181 | 5,335,429 | 4,415,503 | 1,901,963 | 25,559,767 | ||||||||||||||||||||||||
| 5,142,637 | 8,500,026 | 301,541 | 334,296 | 1,578,189 | ||||||||||||||||||||||||
| — | 5,850,847 | 6,824,350 | 2,354,525 | — | ||||||||||||||||||||||||
| 193,424 | 170,739 | 153,273 | 93,690 | 229,024 | ||||||||||||||||||||||||
| 51,188 | 38,246 | 45,466 | 54,882 | 155,001 | ||||||||||||||||||||||||
| 153,102 | 102,674 | 123,372 | 128,684 | 163,144 | ||||||||||||||||||||||||
| 5,554,297 | 19,997,961 | 11,863,505 | 4,868,040 | 27,700,257 | ||||||||||||||||||||||||
| 732,860,710 | 307,612,053 | 220,776,210 | 123,044,873 | 475,140,359 | ||||||||||||||||||||||||
| 638,194 | 1,013,232 | 268,123 | 537,954 | 4,068,631 | ||||||||||||||||||||||||
| (296,160,107 | ) | (69,798,004 | ) | (2,783,817 | ) | 5,460,285 | 15,198,620 | |||||||||||||||||||||
| (3,280,726 | ) | (215,170 | ) | 3,785,310 | 6,806,256 | 20,042,890 | ||||||||||||||||||||||
| $ | 434,058,071 | $ | 238,612,111 | $ | 222,045,826 | $ | 135,849,368 | $ | 514,450,500 | |||||||||||||||||||
| $ | 60,942,385 | $ | 31,733,120 | $ | 65,195,090 | $ | 91,209,721 | $ | 251,465,619 | |||||||||||||||||||
| 13,436,848 | 12,133,426 | 7,420,147 | 15,223,581 | 31,376,923 | ||||||||||||||||||||||||
| 341,829,851 | 176,643,959 | 91,247,622 | 21,717,499 | 177,412,317 | ||||||||||||||||||||||||
| 6,013,929 | 650,613 | — | — | 5,472,727 | ||||||||||||||||||||||||
| 9,947,349 | 7,462,140 | 47,826,302 | 1,925,386 | 18,321,969 | ||||||||||||||||||||||||
| 1,877,478 | 9,953,554 | 3,689,295 | 5,762,416 | 30,340,655 | ||||||||||||||||||||||||
| 10,231 | 35,299 | 6,667,370 | 10,765 | 60,290 | ||||||||||||||||||||||||
| $434,058,071 | $ | 238,612,111 | $ | 222,045,826 | $ | 135,849,368 | $ | 514,450,500 | ||||||||||||||||||||
| 3,529,591 | 1,608,717 | 2,300,701 | 2,347,166 | 6,169,532 | ||||||||||||||||||||||||
| 784,992 | 703,383 | 327,729 | 515,449 | 845,815 | ||||||||||||||||||||||||
| 19,811,156 | 8,627,463 | 2,784,942 | 440,056 | 4,232,102 | ||||||||||||||||||||||||
| 346,889 | 33,461 | — | — | 134,798 | ||||||||||||||||||||||||
| 577,687 | 380,469 | 1,653,157 | 49,650 | 453,610 | ||||||||||||||||||||||||
| 109,293 | 514,047 | 134,203 | 150,377 | 756,277 | ||||||||||||||||||||||||
| 593 | 1,724 | 203,423 | 218 | 1,439 | ||||||||||||||||||||||||
| $17.27 | $19.73 | $28.34 | $38.86 | $40.76 | ||||||||||||||||||||||||
| 17.12 | 17.25 | 22.64 | 29.53 | 37.10 | ||||||||||||||||||||||||
| 17.25 | 20.47 | 32.76 | 49.35 | 41.92 | ||||||||||||||||||||||||
| 17.34 | 19.44 | — | — | 40.60 | ||||||||||||||||||||||||
| 17.22 | 19.61 | 28.93 | 38.78 | 40.39 | ||||||||||||||||||||||||
| 17.18 | 19.36 | 27.49 | 38.32 | 40.12 | ||||||||||||||||||||||||
| 17.25 | 20.47 | 32.78 | 49.35 | (c) | 41.91 | (c) | ||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 71 |
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Statements of Operations
For the Fiscal Year Ended October 31, 2016
| Large Cap Growth Insights Fund | ||||||
| Investment income: | ||||||
Dividends — unaffiliated issuers (net of foreign withholding taxes of $0, $2,890, $2,307, $606, $1,376 and $2,105) | $ | 12,560,066 | ||||
Dividends — affiliated issuers | 4,599 | |||||
Interest | 65,282 | |||||
Securities lending income — affiliated issuer | 2,784 | |||||
| Total investment income | 12,632,731 | |||||
| Expenses: | ||||||
Management fees | 5,645,967 | |||||
Distribution and Service fees(a) | 1,142,889 | |||||
Transfer Agency fees(a) | 841,047 | |||||
Registration fees | 206,068 | |||||
Custody, accounting and administrative services | 124,522 | |||||
Printing and mailing costs | 110,608 | |||||
Professional fees | 62,411 | |||||
Trustee fees | 22,275 | |||||
Service Share fees — Service Plan | 19,975 | |||||
Service Share fees — Shareholder Administration Plan | 19,975 | |||||
Other | 25,901 | |||||
| Total expenses | 8,221,638 | |||||
Less — expense reductions | (1,648,717 | ) | ||||
| Net expenses | 6,572,921 | |||||
| NET INVESTMENT INCOME | 6,059,810 | |||||
| Realized and unrealized gain (loss): | ||||||
Net realized gain from: | ||||||
Investments — unaffiliated issuers | 38,858,873 | |||||
Futures contracts | 693,327 | |||||
Net change in unrealized gain (loss) on: | ||||||
Investments — unaffiliated issuers | (22,946,544 | ) | ||||
Futures contracts | (606,921 | ) | ||||
| Net realized and unrealized gain | 15,998,735 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 22,058,545 | ||||
| (a) | Class specific Distribution and Service and Transfer Agency fees were as follows: |
| Distribution and Service Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||||
Fund | Class A | Class C | Class R | Class A | Class C | Institutional | Class R6 | Service | Class IR | Class R | ||||||||||||||||||||||||||||||
Large Cap Growth Insights | $ | 563,655 | $ | 498,651 | $ | 80,583 | $ | 428,378 | $ | 94,744 | $ | 211,924 | $ | 308 | $ | 3,196 | $ | 71,875 | $ | 30,622 | ||||||||||||||||||||
Large Cap Value Insights | 150,279 | 142,233 | 7,459 | 114,212 | 27,024 | 117,444 | 3 | 2,650 | 14,423 | 2,834 | ||||||||||||||||||||||||||||||
Small Cap Equity Insights | 79,043 | 130,212 | 47,187 | 60,072 | 24,740 | 49,507 | 4 | 297 | 6,025 | 17,931 | ||||||||||||||||||||||||||||||
Small Cap Growth Insights | 134,576 | 77,065 | 15,806 | 102,278 | 14,642 | 30,964 | 616 | — | 31,081 | 6,006 | ||||||||||||||||||||||||||||||
Small Cap Value Insights | 223,910 | 153,934 | 25,878 | 170,172 | 29,248 | 7,964 | 3 | — | 3,475 | 9,834 | ||||||||||||||||||||||||||||||
U.S. Equity Insights | 646,612 | 342,908 | 143,683 | 491,425 | 65,153 | 58,225 | 3 | 1,649 | 14,868 | 54,599 | ||||||||||||||||||||||||||||||
| 72 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
| Large Cap Value Insights Fund | Small Cap Equity Insights Fund | Small Cap Growth Insights Fund | Small Cap Value Insights Fund | U.S. Equity Insights Fund | ||||||||||||||||||||||||
| $ | 8,800,532 | $ | 2,942,405 | $ | 1,820,733 | $ | 2,630,630 | $ | 9,121,930 | |||||||||||||||||||
| 1,800 | 2,257 | 1,968 | 558 | 3,037 | ||||||||||||||||||||||||
| 27,024 | 14,739 | 14,347 | 8,170 | 34,952 | ||||||||||||||||||||||||
| 4,663 | 90,857 | 159,325 | 32,510 | 1,103 | ||||||||||||||||||||||||
| 8,834,019 | 3,050,258 | 1,996,373 | 2,671,868 | 9,161,022 | ||||||||||||||||||||||||
| 2,301,958 | 1,545,100 | 1,373,116 | 1,121,007 | 3,114,748 | ||||||||||||||||||||||||
| 299,971 | 256,442 | 227,447 | 403,722 | 1,133,203 | ||||||||||||||||||||||||
| 278,590 | 158,576 | 185,587 | 220,696 | 685,922 | ||||||||||||||||||||||||
| 171,639 | 128,630 | 117,676 | 110,518 | 129,053 | ||||||||||||||||||||||||
| 91,307 | 85,148 | 84,443 | 73,983 | 100,476 | ||||||||||||||||||||||||
| 54,843 | 36,967 | 46,037 | 54,812 | 83,339 | ||||||||||||||||||||||||
| 55,718 | 68,687 | 68,407 | 64,061 | 86,949 | ||||||||||||||||||||||||
| 21,202 | 20,320 | 20,276 | 20,251 | 21,309 | ||||||||||||||||||||||||
| 16,553 | 1,855 | — | — | 10,307 | ||||||||||||||||||||||||
| 16,553 | 1,855 | — | — | 10,307 | ||||||||||||||||||||||||
| 12,061 | 10,154 | 9,122 | 8,784 | 11,832 | ||||||||||||||||||||||||
| 3,320,395 | 2,313,734 | 2,132,111 | 2,077,834 | 5,387,445 | ||||||||||||||||||||||||
| (699,297 | ) | (425,649 | ) | (405,156 | ) | (389,282 | ) | (1,038,277 | ) | |||||||||||||||||||
| 2,621,098 | 1,888,085 | 1,726,955 | 1,688,552 | 4,349,168 | ||||||||||||||||||||||||
| 6,212,921 | 1,162,173 | 269,418 | 983,316 | 4,811,854 | ||||||||||||||||||||||||
| 5,515,375 | 4,020,559 | (2,514,725 | ) | 5,335,565 | 16,608,981 | |||||||||||||||||||||||
| 838,754 | 1,190,757 | 213,007 | 231,919 | 908,807 | ||||||||||||||||||||||||
| (1,818,998 | ) | 1,886,117 | 3,146,778 | 3,326,052 | (10,124,376 | ) | ||||||||||||||||||||||
| (335,335 | ) | (238,445 | ) | (147,484 | ) | (49,001 | ) | (568,167 | ) | |||||||||||||||||||
| 4,199,796 | 6,858,988 | 697,576 | 8,844,535 | 6,825,245 | ||||||||||||||||||||||||
| $ | 10,412,717 | $ | 8,021,161 | $ | 966,994 | $ | 9,827,851 | $ | 11,637,099 | |||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 73 |
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Statements of Changes in Net Assets
| Large Cap Growth Insights Fund | ||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||
| From operations: | ||||||||||
Net investment income (loss) | $ | 6,059,810 | $ | 6,101,448 | ||||||
Net realized gain (loss) | 39,552,200 | 30,915,791 | ||||||||
Net change in unrealized gain (loss) | (23,553,465 | ) | 8,494,396 | |||||||
| Net increase in net assets resulting from operations | 22,058,545 | 45,511,635 | ||||||||
| Distributions to shareholders: | ||||||||||
From net investment income | ||||||||||
Class A Shares | (1,188,498 | ) | (704,224 | ) | ||||||
Class C Shares | (92,936 | ) | (52,165 | ) | ||||||
Institutional Shares | (4,313,410 | ) | (2,655,012 | ) | ||||||
Service Shares | (25,083 | ) | (4,970 | ) | ||||||
Class IR Shares | (299,441 | ) | (245,804 | ) | ||||||
Class R Shares | (79,335 | ) | (9,043 | ) | ||||||
Class R6 Shares(a) | (88 | ) | — | |||||||
From net realized gains | ||||||||||
Class A Shares | — | — | ||||||||
Class C Shares | — | — | ||||||||
Institutional Shares | — | — | ||||||||
Service Shares | — | — | ||||||||
Class IR Shares | — | — | ||||||||
Class R Shares | — | — | ||||||||
Class R6 Shares(a) | — | — | ||||||||
| Total distributions to shareholders | (5,998,791 | ) | (3,671,218 | ) | ||||||
| From share transactions: | ||||||||||
Proceeds from sales of shares | 532,438,805 | 612,742,539 | ||||||||
Reinvestment of distributions | 5,424,452 | 3,567,272 | ||||||||
Cost of shares redeemed | (506,204,019 | ) | (271,948,342 | ) | ||||||
| Net increase (decrease) in net assets resulting from share transactions | 31,659,238 | 344,361,469 | ||||||||
| TOTAL INCREASE (DECREASE) | 47,718,992 | 386,201,886 | ||||||||
| Net assets: | ||||||||||
Beginning of year | $ | 793,380,594 | $ | 407,178,708 | ||||||
End of year | $ | 841,099,586 | $ | 793,380,594 | ||||||
| Undistributed net investment income | $ | 6,011,994 | $ | 5,978,180 | ||||||
| (a) | Commenced operations on July 31, 2015. |
| 74 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
| Large Cap Value Insights Fund | Small Cap Equity Insights Fund | |||||||||||||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||||||||||||
| $ | 6,212,921 | $ | 7,849,572 | $ | 1,162,173 | $ | 545,667 | |||||||||||||||
| 6,354,129 | 28,538,590 | 5,211,316 | 21,650,757 | |||||||||||||||||||
| (2,154,333 | ) | (25,324,467 | ) | 1,647,672 | (14,512,014 | ) | ||||||||||||||||
| 10,412,717 | 11,063,695 | 8,021,161 | 7,684,410 | |||||||||||||||||||
| (758,159 | ) | (916,581 | ) | (49,335 | ) | — | ||||||||||||||||
| (75,081 | ) | (110,236 | ) | — | — | |||||||||||||||||
| (4,760,563 | ) | (6,499,235 | ) | (488,722 | ) | (426,236 | ) | |||||||||||||||
| (75,588 | ) | (91,882 | ) | — | — | |||||||||||||||||
| (116,096 | ) | (107,537 | ) | (5,495 | ) | (629 | ) | |||||||||||||||
| (15,774 | ) | (12,248 | ) | (2,484 | ) | — | ||||||||||||||||
| (162 | ) | (46 | ) | (59 | ) | — | ||||||||||||||||
| — | — | — | — | |||||||||||||||||||
| — | — | — | — | |||||||||||||||||||
| — | — | — | — | |||||||||||||||||||
| — | — | — | — | |||||||||||||||||||
| — | — | — | — | |||||||||||||||||||
| — | — | — | — | |||||||||||||||||||
| — | — | — | — | |||||||||||||||||||
| (5,801,423 | ) | (7,737,765 | ) | (546,095 | ) | (426,865 | ) | |||||||||||||||
| 165,726,833 | 111,021,958 | 156,562,364 | 43,084,859 | |||||||||||||||||||
| 5,673,950 | 7,574,820 | 538,978 | 412,488 | |||||||||||||||||||
| (130,141,538 | ) | (214,777,809 | ) | (66,939,713 | ) | (95,160,861 | ) | |||||||||||||||
| 41,259,245 | (96,181,031 | ) | 90,161,629 | (51,663,514 | ) | |||||||||||||||||
| 45,870,539 | (92,855,101 | ) | 97,636,695 | (44,405,969 | ) | |||||||||||||||||
| $ | 388,187,532 | $ | 481,042,633 | $ | 140,975,416 | $ | 185,381,385 | |||||||||||||||
| $ | 434,058,071 | $ | 388,187,532 | $ | 238,612,111 | $ | 140,975,416 | |||||||||||||||
| $ | 638,194 | $ | 262,539 | $ | 1,013,232 | $ | 438,381 | |||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 75 |
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Statements of Changes in Net Assets (continued)
| Small Cap Growth Insights Fund | ||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||
| From operations: | ||||||||||
Net investment income (loss) | $ | 269,418 | $ | (200,477 | ) | |||||
Net realized gain (loss) | (2,301,718 | ) | 10,935,297 | |||||||
Net change in unrealized gain (loss) | 2,999,294 | (8,428,187 | ) | |||||||
| Net increase in net assets resulting from operations | 966,994 | 2,306,633 | ||||||||
| Distributions to shareholders: | ||||||||||
From net investment income | ||||||||||
Class A Shares | — | — | ||||||||
Class C Shares | — | — | ||||||||
Institutional Shares | — | — | ||||||||
Service Shares | — | — | ||||||||
Class IR Shares | — | — | ||||||||
Class R Shares | — | — | ||||||||
Class R6 Shares(a) | — | — | ||||||||
From net realized gains | ||||||||||
Class A Shares | (3,786,174 | ) | (1,954,522 | ) | ||||||
Class C Shares | (870,411 | ) | (477,017 | ) | ||||||
Institutional Shares | (5,329,256 | ) | (1,549,403 | ) | ||||||
Service Shares | — | — | ||||||||
Class IR Shares | (408,028 | ) | (73,879 | ) | ||||||
Class R Shares | (208,004 | ) | (64,282 | ) | ||||||
Class R6 Shares(a) | (728 | ) | — | |||||||
| Total distributions to shareholders | (10,602,601 | ) | (4,119,103 | ) | ||||||
| From share transactions: | ||||||||||
Proceeds from sales of shares | 143,678,447 | 72,721,872 | ||||||||
Reinvestment of distributions | 9,066,848 | 4,024,778 | ||||||||
Cost of shares redeemed | (43,690,211 | ) | (26,153,981 | ) | ||||||
| Net increase (decrease) in net assets resulting from share transactions | 109,055,084 | 50,592,669 | ||||||||
| TOTAL INCREASE (DECREASE) | 99,419,477 | 48,780,199 | ||||||||
| Net assets: | ||||||||||
Beginning of year | $ | 122,626,349 | $ | 73,846,150 | ||||||
End of year | $ | 222,045,826 | $ | 122,626,349 | ||||||
| Undistributed net investment income | $ | 268,123 | $ | 715 | ||||||
| (a) | Commenced operations on July 31, 2015. |
| 76 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
| Small Cap Value Insights Fund | U.S. Equity Insights Fund | |||||||||||||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||||||||||||
| $ | 983,316 | $ | 989,755 | $ | 4,811,854 | $ | 5,147,271 | |||||||||||||||
| 5,567,484 | 7,372,054 | 17,517,788 | 14,964,030 | |||||||||||||||||||
| 3,277,051 | (7,809,543 | ) | (10,692,543 | ) | (2,280,819 | ) | ||||||||||||||||
| 9,827,851 | 552,266 | 11,637,099 | 17,830,482 | |||||||||||||||||||
| (737,825 | ) | (362,473 | ) | (2,582,312 | ) | (2,013,475 | ) | |||||||||||||||
| (57,118 | ) | — | (113,480 | ) | (35,665 | ) | ||||||||||||||||
| (197,818 | ) | (94,110 | ) | (1,769,015 | ) | (1,488,787 | ) | |||||||||||||||
| — | — | (37,629 | ) | (7,403 | ) | |||||||||||||||||
| (18,949 | ) | (10,792 | ) | (66,496 | ) | (10,626 | ) | |||||||||||||||
| (44,265 | ) | (666 | ) | (262,202 | ) | (6,367 | ) | |||||||||||||||
| (97 | ) | — | (134 | ) | — | |||||||||||||||||
| (4,933,036 | ) | (1,537,176 | ) | (7,754,822 | ) | — | ||||||||||||||||
| (1,118,515 | ) | (364,017 | ) | (1,167,573 | ) | — | ||||||||||||||||
| (884,302 | ) | (192,609 | ) | (3,424,724 | ) | — | ||||||||||||||||
| — | — | (96,766 | ) | — | ||||||||||||||||||
| (95,047 | ) | (26,978 | ) | (144,544 | ) | — | ||||||||||||||||
| (268,922 | ) | (15,861 | ) | (832,819 | ) | — | ||||||||||||||||
| (419 | ) | — | (275 | ) | — | |||||||||||||||||
| (8,356,313 | ) | (2,604,682 | ) | (18,252,791 | ) | (3,562,323 | ) | |||||||||||||||
| 14,415,599 | 20,239,128 | 133,423,119 | 157,816,504 | |||||||||||||||||||
| 8,059,965 | 2,536,171 | 17,393,559 | 3,432,073 | |||||||||||||||||||
| (25,476,290 | ) | (24,313,088 | ) | (97,816,860 | ) | (132,760,111 | ) | |||||||||||||||
| (3,000,726 | ) | (1,537,789 | ) | 52,999,818 | 28,488,466 | |||||||||||||||||
| (1,529,188 | ) | (3,590,205 | ) | 46,384,126 | 42,756,625 | |||||||||||||||||
| $ | 137,378,556 | $ | 140,968,761 | $ | 468,066,374 | $ | 425,309,749 | |||||||||||||||
| $ | 135,849,368 | $ | 137,378,556 | $ | 514,450,500 | $ | 468,066,374 | |||||||||||||||
| $ | 537,954 | $ | 593,980 | $ | 4,068,631 | $ | 4,044,396 | |||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 77 |
GOLDMAN SACHS LARGE CAP GROWTH INSIGHTS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from Investment Operations | ||||||||||||||||||||||
| Year - Share Class | Net asset value, beginning of year | Net investment income (loss)(a) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | |||||||||||||||||
| FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||
2016 - A | $ | 23.13 | $ | 0.11 | $ | 0.33 | $ | 0.44 | $ | (0.13 | ) | |||||||||||
2016 - C | 21.02 | (0.05 | ) | 0.30 | 0.25 | (0.04 | ) | |||||||||||||||
2016 - Institutional | 23.86 | 0.21 | 0.34 | 0.55 | (0.20 | ) | ||||||||||||||||
2016 - Service | 22.89 | 0.08 | 0.33 | 0.41 | (0.15 | ) | ||||||||||||||||
2016 - IR | 22.88 | 0.17 | 0.32 | 0.49 | (0.18 | ) | ||||||||||||||||
2016 - R | 22.71 | 0.05 | 0.32 | 0.37 | (0.15 | ) | ||||||||||||||||
2016 - R6 | 23.86 | 0.18 | 0.38 | 0.56 | (0.21 | ) | ||||||||||||||||
2015 - A | 21.57 | 0.16 | 1.55 | 1.71 | (0.15 | ) | ||||||||||||||||
2015 - C | 19.67 | (0.01 | ) | 1.41 | 1.40 | (0.05 | ) | |||||||||||||||
2015 - Institutional | 22.22 | 0.26 | 1.60 | 1.86 | (0.22 | ) | ||||||||||||||||
2015 - Service | 21.41 | 0.13 | 1.55 | 1.68 | (0.20 | ) | ||||||||||||||||
2015 - IR | 21.36 | 0.22 | 1.52 | 1.74 | (0.22 | ) | ||||||||||||||||
2015 - R | 21.25 | 0.09 | 1.55 | 1.64 | (0.18 | ) | ||||||||||||||||
2015 - R6 (Commenced July 31, 2015) | 23.90 | 0.06 | (0.10 | ) | (0.04 | ) | — | |||||||||||||||
2014 - A | 18.05 | 0.12 | 3.54 | 3.66 | (0.14 | ) | ||||||||||||||||
2014 - C | 16.51 | (0.02 | ) | 3.23 | 3.21 | (0.05 | ) | |||||||||||||||
2014 - Institutional | 18.59 | 0.21 | 3.62 | 3.83 | (0.20 | ) | ||||||||||||||||
2014 - Service | 17.81 | 0.18 | 3.42 | 3.60 | — | |||||||||||||||||
2014 - IR | 17.88 | 0.14 | 3.52 | 3.66 | (0.18 | ) | ||||||||||||||||
2014 - R | 17.85 | 0.07 | 3.48 | 3.55 | (0.15 | ) | ||||||||||||||||
2013 - A | 14.05 | 0.21 | (e) | 3.95 | 4.16 | (0.16 | ) | |||||||||||||||
2013 - C | 12.88 | 0.06 | (e) | 3.65 | 3.71 | (0.08 | ) | |||||||||||||||
2013 - Institutional | 14.48 | 0.27 | (e) | 4.07 | 4.34 | (0.23 | ) | |||||||||||||||
2013 - Service | 13.88 | 0.16 | (e) | 3.93 | 4.09 | (0.16 | ) | |||||||||||||||
2013 - IR | 13.95 | 0.22 | (e) | 3.93 | 4.15 | (0.22 | ) | |||||||||||||||
2013 - R | 13.97 | 0.11 | (e) | 3.97 | 4.08 | (0.20 | ) | |||||||||||||||
2012 - A | 12.60 | 0.12 | (f) | 1.47 | 1.59 | (0.14 | ) | |||||||||||||||
2012 - C | 11.57 | 0.01 | (f) | 1.35 | 1.36 | (0.05 | ) | |||||||||||||||
2012 - Institutional | 12.98 | 0.17 | (f) | 1.52 | 1.69 | (0.19 | ) | |||||||||||||||
2012 - Service | 12.47 | 0.10 | (f) | 1.47 | 1.57 | (0.16 | ) | |||||||||||||||
2012 - IR | 12.53 | 0.13 | (f) | 1.48 | 1.61 | (0.19 | ) | |||||||||||||||
2012 - R | 12.46 | 0.06 | (f) | 1.50 | 1.56 | (0.05 | ) | |||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (d) | Annualized. |
| (e) | Reflects income recognized from special dividends which amounted to $0.05 per share and 0.31% of average net assets. |
| (f) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.22% of average net assets. |
| 78 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS LARGE CAP GROWTH INSIGHTS FUND
Net asset value, end of year | Total return(b) | Net assets, end of year (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income (loss) to average net assets | Portfolio turnover rate(c) | ||||||||||||||||||||||||||||||||||
| $ | 23.44 | 1.93 | % | $ | 254,036 | 0.96 | % | 1.15 | % | 0.49 | % | 254 | % | |||||||||||||||||||||||||||
| 21.23 | 1.18 | 48,610 | 1.71 | 1.90 | (0.25 | ) | 254 | |||||||||||||||||||||||||||||||||
| 24.21 | 2.35 | 448,961 | 0.56 | 0.75 | 0.89 | 254 | ||||||||||||||||||||||||||||||||||
| 23.15 | 1.82 | 12,517 | 1.06 | 1.26 | 0.34 | 254 | ||||||||||||||||||||||||||||||||||
| 23.19 | 2.18 | 48,133 | 0.71 | 0.90 | 0.74 | 254 | ||||||||||||||||||||||||||||||||||
| 22.93 | 1.66 | 20,635 | 1.21 | 1.40 | 0.22 | 254 | ||||||||||||||||||||||||||||||||||
| 24.21 | 2.38 | 8,208 | 0.54 | 0.74 | 0.72 | 254 | ||||||||||||||||||||||||||||||||||
| 23.13 | 7.96 | 200,634 | 0.96 | 1.16 | 0.72 | 222 | ||||||||||||||||||||||||||||||||||
| 21.02 | 7.12 | 49,658 | 1.71 | 1.91 | (0.05 | ) | 222 | |||||||||||||||||||||||||||||||||
| 23.86 | 8.41 | 493,322 | 0.56 | 0.76 | 1.13 | 222 | ||||||||||||||||||||||||||||||||||
| 22.89 | 7.88 | 3,096 | 1.06 | 1.26 | 0.60 | 222 | ||||||||||||||||||||||||||||||||||
| 22.88 | 8.21 | 36,001 | 0.71 | 0.91 | 0.97 | 222 | ||||||||||||||||||||||||||||||||||
| 22.71 | 7.73 | 10,660 | 1.21 | 1.41 | 0.39 | 222 | ||||||||||||||||||||||||||||||||||
| 23.86 | (0.17 | ) | 10 | 0.54 | (d) | 0.74 | (d) | 1.00 | (d) | 222 | ||||||||||||||||||||||||||||||
| 21.57 | 20.41 | 94,053 | 0.96 | 1.20 | 0.63 | 234 | ||||||||||||||||||||||||||||||||||
| 19.67 | 19.51 | 19,448 | 1.71 | 1.95 | (0.12 | ) | 234 | |||||||||||||||||||||||||||||||||
| 22.22 | 20.88 | 269,611 | 0.56 | 0.80 | 1.05 | 234 | ||||||||||||||||||||||||||||||||||
| 21.41 | 20.21 | 408 | 1.06 | 1.30 | 0.96 | 234 | ||||||||||||||||||||||||||||||||||
| 21.36 | 20.69 | 20,793 | 0.71 | 0.97 | 0.68 | 234 | ||||||||||||||||||||||||||||||||||
| 21.25 | 20.10 | 535 | 1.21 | 1.45 | 0.37 | 234 | ||||||||||||||||||||||||||||||||||
| 18.05 | 29.90 | 74,524 | 0.95 | 1.20 | 1.34 | (e) | 232 | |||||||||||||||||||||||||||||||||
| 16.51 | 28.96 | 14,133 | 1.70 | 1.95 | 0.42 | (e) | 232 | |||||||||||||||||||||||||||||||||
| 18.59 | 30.40 | 289,326 | 0.55 | 0.80 | 1.65 | (e) | 232 | |||||||||||||||||||||||||||||||||
| 17.81 | 29.77 | 1,155 | 1.05 | 1.30 | 1.05 | (e) | 232 | |||||||||||||||||||||||||||||||||
| 17.88 | 30.26 | 784 | 0.70 | 0.95 | 1.40 | (e) | 232 | |||||||||||||||||||||||||||||||||
| 17.85 | 29.53 | 359 | 1.20 | 1.46 | 0.70 | (e) | 232 | |||||||||||||||||||||||||||||||||
| 14.05 | 12.69 | 118,956 | 0.95 | 1.16 | 0.83 | (f) | 146 | |||||||||||||||||||||||||||||||||
| 12.88 | 11.81 | 12,555 | 1.70 | 1.91 | 0.08 | (f) | 146 | |||||||||||||||||||||||||||||||||
| 14.48 | 13.18 | 311,286 | 0.55 | 0.76 | 1.23 | (f) | 146 | |||||||||||||||||||||||||||||||||
| 13.88 | 12.67 | 963 | 1.05 | 1.26 | 0.73 | (f) | 146 | |||||||||||||||||||||||||||||||||
| 13.95 | 12.96 | 667 | 0.70 | 0.90 | 0.95 | (f) | 146 | |||||||||||||||||||||||||||||||||
| 13.97 | 12.50 | 127 | 1.20 | 1.39 | 0.39 | (f) | 146 | |||||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 79 |
GOLDMAN SACHS LARGE CAP VALUE INSIGHTS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from Investment Operations | ||||||||||||||||||||||
| Year - Share Class | Net asset value, beginning of year | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | |||||||||||||||||
| FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||
2016 - A | $ | 16.92 | $ | 0.23 | $ | 0.33 | $ | 0.56 | $ | (0.21 | ) | |||||||||||
2016 - C | 16.78 | 0.10 | 0.33 | 0.43 | (0.09 | ) | ||||||||||||||||
2016 - Institutional | 16.91 | 0.29 | 0.32 | 0.61 | (0.27 | ) | ||||||||||||||||
2016 - Service | 16.99 | 0.21 | 0.33 | 0.54 | (0.19 | ) | ||||||||||||||||
2016 - IR | 16.88 | 0.26 | 0.33 | 0.59 | (0.25 | ) | ||||||||||||||||
2016 - R | 16.84 | 0.18 | 0.33 | 0.51 | (0.17 | ) | ||||||||||||||||
2016 - R6 | 16.90 | 0.29 | 0.34 | 0.63 | (0.28 | ) | ||||||||||||||||
2015 - A | 16.86 | 0.24 | 0.06 | 0.30 | (0.24 | ) | ||||||||||||||||
2015 - C | 16.71 | 0.11 | 0.07 | 0.18 | (0.11 | ) | ||||||||||||||||
2015 - Institutional | 16.85 | 0.31 | 0.06 | 0.37 | (0.31 | ) | ||||||||||||||||
2015 - Service | 16.92 | 0.22 | 0.07 | 0.29 | (0.22 | ) | ||||||||||||||||
2015 - IR | 16.81 | 0.27 | 0.08 | 0.35 | (0.28 | ) | ||||||||||||||||
2015 - R | 16.81 | 0.18 | 0.08 | 0.26 | (0.23 | ) | ||||||||||||||||
2015 - R6 (Commenced July 31, 2015) | 17.23 | 0.07 | (0.32 | ) | (0.25 | ) | (0.08 | ) | ||||||||||||||
2014 - A | 14.75 | 0.16 | 2.10 | 2.26 | (0.15 | ) | ||||||||||||||||
2014 - C | 14.63 | 0.04 | 2.08 | 2.12 | (0.04 | ) | ||||||||||||||||
2014 - Institutional | 14.74 | 0.22 | 2.11 | 2.33 | (0.22 | ) | ||||||||||||||||
2014 - Service | 14.81 | 0.14 | 2.11 | 2.25 | (0.14 | ) | ||||||||||||||||
2014 - IR | 14.72 | 0.21 | 2.08 | 2.29 | (0.20 | ) | ||||||||||||||||
2014 - R | 14.71 | 0.08 | 2.13 | 2.21 | (0.11 | ) | ||||||||||||||||
2013 - A | 11.49 | 0.25 | (e) | 3.22 | 3.47 | (0.21 | ) | |||||||||||||||
2013 - C | 11.40 | 0.12 | (e) | 3.23 | 3.35 | (0.12 | ) | |||||||||||||||
2013 - Institutional | 11.48 | 0.28 | (e) | 3.25 | 3.53 | (0.27 | ) | |||||||||||||||
2013 - Service | 11.54 | 0.21 | (e) | 3.26 | 3.47 | (0.20 | ) | |||||||||||||||
2013 - IR | 11.47 | 0.23 | (e) | 3.27 | 3.50 | (0.25 | ) | |||||||||||||||
2013 - R | 11.46 | 0.16 | (e) | 3.28 | 3.44 | (0.19 | ) | |||||||||||||||
2012 - A | 10.19 | 0.17 | 1.29 | (f) | 1.46 | (0.16 | ) | |||||||||||||||
2012 - C | 10.11 | 0.09 | 1.29 | (f) | 1.38 | (0.09 | ) | |||||||||||||||
2012 - Institutional | 10.18 | 0.21 | 1.30 | (f) | 1.51 | (0.21 | ) | |||||||||||||||
2012 - Service | 10.23 | 0.17 | 1.29 | (f) | 1.46 | (0.15 | ) | |||||||||||||||
2012 - IR | 10.17 | 0.19 | 1.30 | (f) | 1.49 | (0.19 | ) | |||||||||||||||
2012 - R | 10.17 | 0.13 | 1.30 | (f) | �� | 1.43 | (0.14 | ) | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (d) | Annualized. |
| (e) | Reflects income recognized from a special dividend which amounted to $0.04 per share and 0.32% of average net assets. |
| (f) | Reflects payment from affiliate relating to certain investment transactions which amounted to $0.01 per share. Excluding such payment, the total return would have been 14.34%, 13.51%, 13.55%, 14.81%, 14.28%, and 14.67%, respectively. |
| 80 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS LARGE CAP VALUE INSIGHTS FUND
Net asset value, end of year | Total return(b) | Net assets, end of year (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income to average net assets | Portfolio turnover rate(c) | ||||||||||||||||||||||||||||||||||
| $ | 17.27 | 3.35 | % | $ | 60,942 | 0.96 | % | 1.15 | % | 1.36 | % | 229 | % | |||||||||||||||||||||||||||
| 17.12 | 2.56 | 13,437 | 1.71 | 1.90 | 0.61 | 229 | ||||||||||||||||||||||||||||||||||
| 17.25 | 3.69 | 341,830 | 0.56 | 0.75 | 1.73 | 229 | ||||||||||||||||||||||||||||||||||
| 17.34 | 3.22 | 6,014 | 1.06 | 1.24 | 1.27 | 229 | ||||||||||||||||||||||||||||||||||
| 17.22 | 3.57 | 9,947 | 0.71 | 0.90 | 1.56 | 229 | ||||||||||||||||||||||||||||||||||
| 17.18 | 3.08 | 1,877 | 1.21 | 1.40 | 1.07 | 229 | ||||||||||||||||||||||||||||||||||
| 17.25 | 3.76 | 10 | 0.54 | 0.74 | 1.77 | 229 | ||||||||||||||||||||||||||||||||||
| 16.92 | 1.82 | 62,150 | 0.96 | 1.12 | 1.39 | 221 | ||||||||||||||||||||||||||||||||||
| 16.78 | 1.11 | 15,658 | 1.71 | 1.87 | 0.64 | 221 | ||||||||||||||||||||||||||||||||||
| 16.91 | 2.24 | 296,403 | 0.56 | 0.72 | 1.81 | 221 | ||||||||||||||||||||||||||||||||||
| 16.99 | 1.77 | 7,271 | 1.06 | 1.22 | 1.29 | 221 | ||||||||||||||||||||||||||||||||||
| 16.88 | 2.14 | 5,425 | 0.71 | 0.87 | 1.60 | 221 | ||||||||||||||||||||||||||||||||||
| 16.84 | 1.56 | 1,270 | 1.21 | 1.37 | 1.07 | 221 | ||||||||||||||||||||||||||||||||||
| 16.90 | (1.41 | ) | 10 | 0.58 | (d) | 0.74 | (d) | 1.62 | (d) | 221 | ||||||||||||||||||||||||||||||
| 16.86 | 15.42 | 62,704 | 0.96 | 1.14 | 1.00 | 222 | ||||||||||||||||||||||||||||||||||
| 16.71 | 14.50 | 16,567 | 1.71 | 1.89 | 0.25 | 222 | ||||||||||||||||||||||||||||||||||
| 16.85 | 15.89 | 389,534 | 0.56 | 0.74 | 1.39 | 222 | ||||||||||||||||||||||||||||||||||
| 16.92 | 15.24 | 6,062 | 1.06 | 1.24 | 0.91 | 222 | ||||||||||||||||||||||||||||||||||
| 16.81 | 15.62 | 5,238 | 0.71 | 0.88 | 1.27 | 222 | ||||||||||||||||||||||||||||||||||
| 16.81 | 15.13 | 332 | 1.21 | 1.39 | 0.49 | 222 | ||||||||||||||||||||||||||||||||||
| 14.75 | 30.54 | 52,993 | 0.95 | 1.14 | 1.95 | (e) | 221 | |||||||||||||||||||||||||||||||||
| 14.63 | 29.61 | 13,723 | 1.70 | 1.90 | 0.91 | (e) | 221 | |||||||||||||||||||||||||||||||||
| 14.74 | 31.13 | 245,662 | 0.55 | 0.75 | 2.21 | (e) | 221 | |||||||||||||||||||||||||||||||||
| 14.81 | 30.40 | 5,061 | 1.05 | 1.25 | 1.64 | (e) | 221 | |||||||||||||||||||||||||||||||||
| 14.72 | 30.88 | 293 | 0.71 | 0.91 | 1.72 | (e) | 221 | |||||||||||||||||||||||||||||||||
| 14.71 | 30.25 | 79 | 1.20 | 1.40 | 1.23 | (e) | 221 | |||||||||||||||||||||||||||||||||
| 11.49 | 14.44 | (f) | 107,535 | 0.95 | 1.11 | 1.53 | 135 | |||||||||||||||||||||||||||||||||
| 11.40 | 13.65 | (f) | 11,018 | 1.70 | 1.86 | 0.77 | 135 | |||||||||||||||||||||||||||||||||
| 11.48 | 14.91 | (f) | 337,650 | 0.55 | 0.71 | 1.91 | 135 | |||||||||||||||||||||||||||||||||
| 11.54 | 14.38 | (f) | 5,117 | 1.05 | 1.21 | 1.48 | 135 | |||||||||||||||||||||||||||||||||
| 11.47 | 14.77 | (f) | 128 | 0.70 | 0.86 | 1.74 | 135 | |||||||||||||||||||||||||||||||||
| 11.46 | 14.08 | (f) | 33 | 1.20 | 1.36 | 1.18 | 135 | |||||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 81 |
GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from Investment Operations | ||||||||||||||||||||||
| Year - Share Class | Net asset value, beginning of year | Net investment income (loss)(a) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions to shareholders from net investment income | |||||||||||||||||
| FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||
2016 - A | $ | 19.10 | $ | 0.08 | $ | 0.58 | $ | 0.66 | $ | (0.03 | ) | |||||||||||
2016 - C | 16.81 | (0.05 | ) | 0.49 | 0.44 | — | ||||||||||||||||
2016 - Institutional | 19.84 | 0.17 | 0.57 | 0.74 | (0.11 | ) | ||||||||||||||||
2016 - Service | 18.82 | 0.06 | 0.56 | 0.62 | — | |||||||||||||||||
2016 - IR | 19.02 | 0.09 | 0.59 | 0.68 | (0.09 | ) | ||||||||||||||||
2016 - R | 18.78 | 0.03 | 0.55 | 0.58 | — | (d) | ||||||||||||||||
2016 - R6 | 19.84 | 0.17 | 0.58 | 0.75 | (0.12 | ) | ||||||||||||||||
2015 - A | 18.25 | 0.03 | 0.82 | 0.85 | — | |||||||||||||||||
2015 - C | 16.18 | (0.10 | ) | 0.73 | 0.63 | — | ||||||||||||||||
2015 - Institutional | 18.94 | 0.11 | 0.86 | 0.97 | (0.07 | ) | ||||||||||||||||
2015 - Service | 18.00 | 0.02 | 0.80 | 0.82 | — | |||||||||||||||||
2015 - IR | 18.14 | 0.06 | 0.84 | 0.90 | (0.02 | ) | ||||||||||||||||
2015 - R | 17.98 | (0.02 | ) | 0.82 | 0.80 | — | ||||||||||||||||
2015 - R6 (Commenced July 31, 2015) | 20.22 | 0.02 | (0.40 | ) | (0.38 | ) | — | |||||||||||||||
2014 - A | 16.86 | 0.01 | 1.52 | 1.53 | (0.14 | ) | ||||||||||||||||
2014 - C | 15.01 | (0.11 | ) | 1.36 | 1.25 | (0.08 | ) | |||||||||||||||
2014 - Institutional | 17.48 | 0.09 | 1.57 | 1.66 | (0.20 | ) | ||||||||||||||||
2014 - Service | 16.64 | (0.01 | ) | 1.50 | 1.49 | (0.13 | ) | |||||||||||||||
2014 - IR | 16.70 | 0.08 | 1.48 | 1.56 | (0.12 | ) | ||||||||||||||||
2014 - R | 16.67 | (0.03 | ) | 1.49 | 1.46 | (0.15 | ) | |||||||||||||||
2013 - A | 12.93 | 0.20 | (f) | 3.75 | 3.95 | (0.02 | ) | |||||||||||||||
2013 - C | 11.57 | 0.06 | (f) | 3.38 | 3.44 | — | ||||||||||||||||
2013 - Institutional | 13.42 | 0.25 | (f) | 3.91 | 4.16 | (0.10 | ) | |||||||||||||||
2013 - Service | 12.78 | 0.17 | (f) | 3.72 | 3.89 | (0.03 | ) | |||||||||||||||
2013 - IR | 12.83 | 0.23 | (f) | 3.72 | 3.95 | (0.08 | ) | |||||||||||||||
2013 - R | 12.81 | 0.03 | (f) | 3.86 | 3.89 | (0.03 | ) | |||||||||||||||
2012 - A | 12.06 | 0.01 | (g) | 0.96 | (h) | 0.97 | (0.10 | ) | ||||||||||||||
2012 - C | 10.81 | (0.07 | )(g) | 0.86 | (h) | 0.79 | (0.03 | ) | ||||||||||||||
2012 - Institutional | 12.53 | 0.07 | (g) | 0.98 | (h) | 1.05 | (0.16 | ) | ||||||||||||||
2012 - Service | 11.94 | 0.01 | (g) | 0.94 | (h) | 0.95 | (0.11 | ) | ||||||||||||||
2012 - IR | 12.00 | 0.05 | (g) | 0.94 | (h) | 0.99 | (0.16 | ) | ||||||||||||||
2012 - R | 11.97 | (0.01 | )(g) | 0.94 | (h) | 0.93 | (0.09 | ) | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (d) | Amount is less than $0.005 per share. |
| (e) | Annualized. |
| (f) | Reflects income recognized from special dividends which amounted to $0.13 per share and 0.85% of average net assets. |
| (g) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.17% of average net assets. |
| (h) | Reflects payment from affiliate relating to certain investment transactions which amounted to $0.04 per share. Excluding such payment, the total return would have been 7.71%, 6.95%, 6.89%, 8.17%, 7.63%, 8.02%, and 7.44%, respectively. |
| 82 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND
| Net asset value, end of year | Total return(b) | Net assets, end of year (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income (loss) to average net assets | Portfolio turnover rate(c) | ||||||||||||||||||||||||||||||||||
| $ | 19.73 | 3.44 | % | $ | 31,733 | 1.25 | % | 1.49 | % | 0.43 | % | 144 | % | |||||||||||||||||||||||||||
| 17.25 | 2.61 | 12,133 | 2.00 | 2.24 | (0.32 | ) | 144 | |||||||||||||||||||||||||||||||||
| 20.47 | 3.77 | 176,644 | 0.85 | 1.08 | 0.84 | 144 | ||||||||||||||||||||||||||||||||||
| 19.44 | 3.29 | 651 | 1.35 | 1.59 | 0.31 | 144 | ||||||||||||||||||||||||||||||||||
| 19.61 | 3.63 | 7,462 | 0.99 | 1.22 | 0.45 | 144 | ||||||||||||||||||||||||||||||||||
| 19.36 | 3.11 | 9,954 | 1.50 | 1.74 | 0.18 | 144 | ||||||||||||||||||||||||||||||||||
| 20.47 | 3.81 | 35 | 0.83 | 1.06 | 0.85 | 144 | ||||||||||||||||||||||||||||||||||
| 19.10 | 4.66 | 34,680 | 1.26 | 1.47 | 0.15 | 127 | ||||||||||||||||||||||||||||||||||
| 16.81 | 3.89 | 14,153 | 2.01 | 2.22 | (0.60 | ) | 127 | |||||||||||||||||||||||||||||||||
| 19.84 | 5.13 | 81,067 | 0.86 | 1.07 | 0.57 | 127 | ||||||||||||||||||||||||||||||||||
| 18.82 | 4.56 | 959 | 1.36 | 1.58 | 0.12 | 127 | ||||||||||||||||||||||||||||||||||
| 19.02 | 4.99 | 1,119 | 1.01 | 1.23 | 0.32 | 127 | ||||||||||||||||||||||||||||||||||
| 18.78 | 4.45 | 8,986 | 1.51 | 1.72 | (0.11 | ) | 127 | |||||||||||||||||||||||||||||||||
| 19.84 | (1.88 | ) | 10 | 0.86 | (e) | 1.06 | (e) | 0.38 | (e) | 127 | ||||||||||||||||||||||||||||||
| 18.25 | 9.16 | 40,458 | 1.27 | 1.51 | 0.07 | 130 | ||||||||||||||||||||||||||||||||||
| 16.18 | 8.33 | 15,348 | 2.02 | 2.26 | (0.68 | ) | 130 | |||||||||||||||||||||||||||||||||
| 18.94 | 9.58 | 119,013 | 0.87 | 1.11 | 0.47 | 130 | ||||||||||||||||||||||||||||||||||
| 18.00 | 9.02 | 1,769 | 1.37 | 1.60 | (0.04 | ) | 130 | |||||||||||||||||||||||||||||||||
| 18.14 | 9.39 | 448 | 1.02 | 1.24 | 0.47 | 130 | ||||||||||||||||||||||||||||||||||
| 17.98 | 8.83 | 8,126 | 1.52 | 1.76 | (0.18 | ) | 130 | |||||||||||||||||||||||||||||||||
| 16.86 | 30.64 | 42,607 | 1.26 | 1.46 | 1.39 | (f) | 151 | |||||||||||||||||||||||||||||||||
| 15.01 | 29.73 | 16,202 | 2.01 | 2.21 | 0.45 | (f) | 151 | |||||||||||||||||||||||||||||||||
| 17.48 | 31.18 | 134,276 | 0.86 | 1.06 | 1.61 | (f) | 151 | |||||||||||||||||||||||||||||||||
| 16.64 | 30.55 | 2,514 | 1.36 | 1.56 | 1.13 | (f) | 151 | |||||||||||||||||||||||||||||||||
| 16.70 | 30.94 | 1,767 | 1.01 | 1.21 | 1.62 | (f) | 151 | |||||||||||||||||||||||||||||||||
| 16.67 | 30.39 | 7,450 | 1.51 | 1.73 | 0.18 | (f) | 151 | |||||||||||||||||||||||||||||||||
| 12.93 | 8.04 | (h) | 49,863 | 1.25 | 1.46 | 0.15 | (g) | 125 | ||||||||||||||||||||||||||||||||
| 11.57 | 7.26 | (h) | 12,487 | 2.00 | 2.21 | (0.57 | )(g) | 125 | ||||||||||||||||||||||||||||||||
| 13.42 | 8.49 | (h) | 123,556 | 0.85 | 1.06 | 0.55 | (g) | 125 | ||||||||||||||||||||||||||||||||
| 12.78 | 7.97 | (h) | 2,133 | 1.35 | 1.56 | 0.10 | (g) | 125 | ||||||||||||||||||||||||||||||||
| 12.83 | 8.36 | (h) | 5,389 | 1.00 | 1.21 | 0.43 | (g) | 125 | ||||||||||||||||||||||||||||||||
| 12.81 | 7.78 | (h) | 357 | 1.50 | 1.71 | (0.05 | )(g) | 125 | ||||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 83 |
GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from Investment Operations | Distributions to shareholders | |||||||||||||||||||||||||||||
| Year - Share Class | Net asset value, beginning of year | Net investment income (loss)(a) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | Total distributions | |||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||
2016 - A | $ | 31.15 | $ | — | (f) | $ | (0.12 | )(i) | $ | (0.12 | ) | $ | — | $ | (2.69 | ) | $ | (2.69 | ) | |||||||||||
2016 - C | 25.61 | (0.16 | ) | (0.12 | )(i) | (0.28 | ) | — | (2.69 | ) | (2.69 | ) | ||||||||||||||||||
2016 - Institutional | 35.46 | 0.13 | (0.14 | )(i) | (0.01 | ) | — | (2.69 | ) | (2.69 | ) | |||||||||||||||||||
2016 - IR | 31.68 | 0.01 | (0.07 | )(i) | (0.06 | ) | — | (2.69 | ) | (2.69 | ) | |||||||||||||||||||
2016 - R | 30.37 | (0.06 | ) | (0.13 | )(i) | (0.19 | ) | — | (2.69 | ) | (2.69 | ) | ||||||||||||||||||
2016 - R6 | 35.46 | 0.13 | (0.12 | )(i) | 0.01 | — | (2.69 | ) | (2.69 | ) | ||||||||||||||||||||
2015 - A | 31.17 | (0.10 | ) | 1.87 | 1.77 | — | (1.79 | ) | (1.79 | ) | ||||||||||||||||||||
2015 - C | 26.12 | (0.28 | ) | 1.56 | 1.28 | — | (1.79 | ) | (1.79 | ) | ||||||||||||||||||||
2015 - Institutional | 35.10 | 0.02 | 2.13 | 2.15 | — | (1.79 | ) | (1.79 | ) | |||||||||||||||||||||
2015 - IR | 31.59 | (0.04 | ) | 1.92 | 1.88 | — | (1.79 | ) | (1.79 | ) | ||||||||||||||||||||
2015 - R | 30.51 | (0.18 | ) | 1.83 | 1.65 | — | (1.79 | ) | (1.79 | ) | ||||||||||||||||||||
2015 - R6 (Commenced July 31, 2015) | 36.95 | (0.01 | ) | (1.48 | ) | (1.49 | ) | — | — | — | ||||||||||||||||||||
2014 - A | 31.10 | (0.10 | ) | 2.67 | 2.57 | — | (2.50 | ) | (2.50 | ) | ||||||||||||||||||||
2014 - C | 26.64 | (0.27 | ) | 2.25 | 1.98 | — | (2.50 | ) | (2.50 | ) | ||||||||||||||||||||
2014 - Institutional | 34.59 | 0.01 | 3.00 | 3.01 | — | (2.50 | ) | (2.50 | ) | |||||||||||||||||||||
2014 - IR | 31.41 | (0.04 | ) | 2.72 | 2.68 | — | (2.50 | ) | (2.50 | ) | ||||||||||||||||||||
2014 - R | 30.56 | (0.19 | ) | 2.64 | 2.45 | — | (2.50 | ) | (2.50 | ) | ||||||||||||||||||||
2013 - A | 23.40 | 0.18 | (e) | 7.70 | 7.88 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||||
2013 - C | 20.09 | (0.03 | )(e) | 6.63 | 6.60 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||||
2013 - Institutional | 26.01 | 0.29 | (e) | 8.57 | 8.86 | (0.28 | ) | — | (0.28 | ) | ||||||||||||||||||||
2013 - IR | 23.64 | 0.18 | (e) | 7.83 | 8.01 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||||
2013 - R | 23.08 | — | (e)(f) | 7.68 | 7.68 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||||
2012 - A | 21.22 | 0.04 | (g) | 2.14 | (h) | 2.18 | — | — | — | |||||||||||||||||||||
2012 - C | 18.35 | (0.11 | )(g) | 1.85 | (h) | 1.74 | — | — | — | |||||||||||||||||||||
2012 - Institutional | 23.49 | 0.15 | (g) | 2.37 | (h) | 2.52 | — | — | — | |||||||||||||||||||||
2012 - IR | 21.39 | 0.03 | (g) | 2.22 | (h) | 2.25 | — | — | — | |||||||||||||||||||||
2012 - R | 20.98 | (0.01 | )(g) | 2.11 | (h) | 2.10 | — | — | — | |||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (d) | Annualized. |
| (e) | Reflects income recognized from special dividends which amounted to $0.17 per share and 0.65% of average net assets. |
| (f) | Amount is less than $0.005 per share. |
| (g) | Reflects income recognized from special dividends which amounted to $0.11 per share and 0.51% of average net assets. |
| (h) | Reflects payment from affiliate relating to certain investment transactions which amounted to $0.11 per share. Excluding such payment, the total return would have been 9.73%, 8.82%, 8.86%, 10.23%, 9.98% and 9.46%, respectively. |
| (i) | The amount shown for a share outstanding does not correspond with the aggregate net gain on investments for during the period due to the timing of sales and redemptions of Fund shares in relation to the fluctuating market values of the investments of the Fund. |
| 84 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND
| Net asset value, end of year | Total return(b) | Net assets, end of year (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income (loss) to average net assets | Portfolio turnover rate(c) | ||||||||||||||||||||||||||||||||||
| $ | 28.34 | (0.37 | )% | $ | 65,195 | 1.25 | % | 1.51 | % | — | % | 139 | % | |||||||||||||||||||||||||||
| 22.64 | (1.14 | ) | 7,420 | 2.00 | 2.26 | (0.74 | ) | 139 | ||||||||||||||||||||||||||||||||
| 32.76 | 0.01 | 91,248 | 0.85 | 1.11 | 0.40 | 139 | ||||||||||||||||||||||||||||||||||
| 28.93 | (0.15 | ) | 47,826 | 1.00 | 1.23 | 0.04 | 139 | |||||||||||||||||||||||||||||||||
| 27.49 | (0.63 | ) | 3,689 | 1.50 | 1.76 | (0.21 | ) | 139 | ||||||||||||||||||||||||||||||||
| 32.78 | 0.07 | 6,667 | 0.83 | 1.06 | 0.40 | 139 | ||||||||||||||||||||||||||||||||||
| 31.15 | 5.95 | 43,647 | 1.26 | 1.60 | (0.33 | ) | 145 | |||||||||||||||||||||||||||||||||
| 25.61 | 5.18 | 7,964 | 2.01 | 2.36 | (1.06 | ) | 145 | |||||||||||||||||||||||||||||||||
| 35.46 | 6.39 | 64,023 | 0.86 | 1.20 | 0.06 | 145 | ||||||||||||||||||||||||||||||||||
| 31.68 | 6.24 | 4,683 | 1.01 | 1.33 | (0.12 | ) | 145 | |||||||||||||||||||||||||||||||||
| 30.37 | 5.67 | 2,299 | 1.51 | 1.85 | (0.60 | ) | 145 | |||||||||||||||||||||||||||||||||
| 35.46 | (4.03 | ) | 10 | 0.85 | (d) | 1.16 | (d) | (0.07 | )(d) | 145 | ||||||||||||||||||||||||||||||
| 31.17 | 8.74 | 32,390 | 1.30 | 1.86 | (0.33 | ) | 162 | |||||||||||||||||||||||||||||||||
| 26.12 | 7.96 | 7,124 | 2.05 | 2.61 | (1.08 | ) | 162 | |||||||||||||||||||||||||||||||||
| 35.10 | 9.15 | 30,166 | 0.90 | 1.47 | 0.02 | 162 | ||||||||||||||||||||||||||||||||||
| 31.59 | 9.02 | 1,269 | 1.05 | 1.62 | (0.12 | ) | 162 | |||||||||||||||||||||||||||||||||
| 30.51 | 8.48 | 847 | 1.54 | 2.09 | (0.63 | ) | 162 | |||||||||||||||||||||||||||||||||
| 31.10 | 33.98 | 30,803 | 1.30 | 1.93 | 0.67 | (e) | 163 | |||||||||||||||||||||||||||||||||
| 26.64 | 32.92 | 7,402 | 2.05 | 2.68 | (0.12 | )(e) | 163 | |||||||||||||||||||||||||||||||||
| 34.59 | 34.48 | 14,171 | 0.90 | 1.53 | 0.96 | (e) | 163 | |||||||||||||||||||||||||||||||||
| 31.41 | 34.25 | 639 | 1.05 | 1.71 | 0.62 | (e) | 163 | |||||||||||||||||||||||||||||||||
| 30.56 | 33.60 | 209 | 1.55 | 2.18 | (0.01 | )(e) | 163 | |||||||||||||||||||||||||||||||||
| 23.40 | 10.24 | (h) | 25,662 | 1.25 | 1.96 | 0.16 | (g) | 116 | ||||||||||||||||||||||||||||||||
| 20.09 | 9.46 | (h) | 5,247 | 2.00 | 2.71 | (0.59 | )(g) | 116 | ||||||||||||||||||||||||||||||||
| 26.01 | 10.70 | (h) | 7,733 | 0.85 | 1.55 | 0.57 | (g) | 116 | ||||||||||||||||||||||||||||||||
| 23.64 | 10.49 | (h) | 176 | 1.00 | 1.70 | 0.12 | (g) | 116 | ||||||||||||||||||||||||||||||||
| 23.08 | 9.98 | (h) | 30 | 1.50 | 2.20 | (0.08 | )(g) | 116 | ||||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 85 |
GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from Investment Operations | Distributions to shareholders | |||||||||||||||||||||||||||||
| Year - Share Class | Net asset value, beginning of year | Net investment income (loss)(a) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | Total distributions | |||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||
2016 - A | $ | 38.37 | $ | 0.28 | $ | 2.55 | $ | 2.83 | $ | (0.29 | ) | $ | (2.05 | ) | $ | (2.34 | ) | |||||||||||||
2016 - C | 29.75 | 0.01 | 1.92 | 1.93 | (0.10 | ) | (2.05 | ) | (2.15 | ) | ||||||||||||||||||||
2016 - Institutional | 48.06 | 0.55 | 3.23 | 3.78 | (0.44 | ) | (2.05 | ) | (2.49 | ) | ||||||||||||||||||||
2016 - IR | 38.31 | 0.37 | 2.54 | 2.91 | (0.39 | ) | (2.05 | ) | (2.44 | ) | ||||||||||||||||||||
2016 - R | 37.99 | 0.20 | 2.50 | 2.70 | (0.32 | ) | (2.05 | ) | (2.37 | ) | ||||||||||||||||||||
2016 - R6 | 48.07 | 0.55 | 3.23 | 3.78 | (0.45 | ) | (2.05 | ) | (2.50 | ) | ||||||||||||||||||||
2015 - A | 38.89 | 0.30 | (0.09 | ) | 0.21 | (0.14 | ) | (0.59 | ) | (0.73 | ) | |||||||||||||||||||
2015 - C | 30.40 | — | (0.06 | ) | (0.06 | ) | — | (0.59 | ) | (0.59 | ) | |||||||||||||||||||
2015 - Institutional | 48.49 | 0.55 | (0.10 | ) | 0.45 | (0.29 | ) | (0.59 | ) | (0.88 | ) | |||||||||||||||||||
2015 - IR | 38.84 | 0.39 | (0.10 | ) | 0.29 | (0.23 | ) | (0.59 | ) | (0.82 | ) | |||||||||||||||||||
2015 - R | 38.50 | 0.14 | (0.04 | ) | 0.10 | (0.02 | ) | (0.59 | ) | (0.61 | ) | |||||||||||||||||||
2015 - R6 (Commenced July 31, 2015) | 48.87 | 0.10 | (0.90 | ) | (0.80 | ) | — | — | — | |||||||||||||||||||||
2014 - A | 35.97 | 0.15 | 2.95 | 3.10 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||||
2014 - C | 28.20 | (0.10 | ) | 2.31 | 2.21 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||||
2014 - Institutional | 44.76 | 0.38 | 3.67 | 4.05 | (0.32 | ) | — | (0.32 | ) | |||||||||||||||||||||
2014 - IR | 35.92 | 0.25 | 2.94 | 3.19 | (0.27 | ) | — | (0.27 | ) | |||||||||||||||||||||
2014 - R | 35.62 | 0.07 | 2.92 | 2.99 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||||
2013 - A | 28.75 | 0.42 | (e) | 7.12 | 7.54 | (0.32 | ) | — | (0.32 | ) | ||||||||||||||||||||
2013 - C | 22.62 | 0.15 | (e) | 5.60 | 5.75 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||||
2013 - Institutional | 35.67 | 0.69 | (e) | 8.84 | 9.53 | (0.44 | ) | — | (0.44 | ) | ||||||||||||||||||||
2013 - IR | 28.75 | 0.49 | (e) | 7.11 | 7.60 | (0.43 | ) | — | (0.43 | ) | ||||||||||||||||||||
2013 - R | 28.54 | 0.31 | (e) | 7.09 | 7.40 | (0.32 | ) | — | (0.32 | ) | ||||||||||||||||||||
2012 - A | 26.36 | 0.22 | (f) | 2.31 | (g) | 2.53 | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||||
2012 - C | 20.79 | — | (f)(h) | 1.83 | (g) | 1.83 | — | — | — | |||||||||||||||||||||
2012 - Institutional | 32.66 | 0.47 | (f) | 2.79 | (g) | 3.26 | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||||
2012 - IR | 26.40 | 0.31 | (f) | 2.28 | (g) | 2.59 | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||||
2012 - R | 26.21 | 0.15 | (f) | 2.30 | (g) | 2.45 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (d) | Annualized. |
| (e) | Reflects income recognized from special dividends which amounted to $0.20 per share and 0.65% of average net assets. |
| (f) | Reflects income recognized from special dividends which amounted to $0.09 per share and 0.33% of average net assets. |
| (g) | Reflects payment from affiliate relating to certain investment transactions which amounted to $0.07 per share. Excluding such payment, the total return would have been 9.34%, 8.35%, 8.44%, 9.81%, 9.55% and 9.09%, respectively. |
| (h) | Amount is less than $0.005 per share. |
| 86 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND
| Net asset value, end of year | Total return(b) | Net assets, end of year (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income (loss) to average net assets | Portfolio turnover rate(c) | ||||||||||||||||||||||||||||||||||
| $ | 38.86 | 7.99 | % | $ | 91,210 | 1.25 | % | 1.54 | % | 0.78 | % | 129 | % | |||||||||||||||||||||||||||
| 29.53 | 7.15 | 15,224 | 2.00 | 2.29 | 0.03 | 129 | ||||||||||||||||||||||||||||||||||
| 49.35 | 8.41 | 21,717 | 0.85 | 1.14 | 1.19 | 129 | ||||||||||||||||||||||||||||||||||
| 38.78 | 8.26 | 1,925 | 1.00 | 1.29 | 1.02 | 129 | ||||||||||||||||||||||||||||||||||
| 38.32 | 7.72 | 5,762 | 1.50 | 1.79 | 0.55 | 129 | ||||||||||||||||||||||||||||||||||
| 49.35 | 8.41 | 11 | 0.84 | 1.14 | 1.18 | 129 | ||||||||||||||||||||||||||||||||||
| 38.37 | 0.53 | 93,151 | 1.25 | 1.52 | 0.76 | 133 | ||||||||||||||||||||||||||||||||||
| 29.75 | (0.21 | ) | 16,416 | 2.00 | 2.27 | 0.01 | 133 | |||||||||||||||||||||||||||||||||
| 48.06 | 0.93 | 21,036 | 0.85 | 1.12 | 1.13 | 133 | ||||||||||||||||||||||||||||||||||
| 38.31 | 0.76 | 1,774 | 1.00 | 1.27 | 1.00 | 133 | ||||||||||||||||||||||||||||||||||
| 37.99 | 0.27 | 4,992 | 1.51 | 1.77 | 0.36 | 133 | ||||||||||||||||||||||||||||||||||
| 48.07 | (1.64 | ) | 10 | 0.83 | (d) | 1.09 | (d) | 0.83 | (d) | 133 | ||||||||||||||||||||||||||||||
| 38.89 | 8.66 | 96,094 | 1.27 | 1.59 | 0.41 | 114 | ||||||||||||||||||||||||||||||||||
| 30.40 | 7.84 | 18,994 | 2.02 | 2.34 | (0.34 | ) | 114 | |||||||||||||||||||||||||||||||||
| 48.49 | 9.12 | 15,973 | 0.87 | 1.20 | 0.81 | 114 | ||||||||||||||||||||||||||||||||||
| 38.84 | 8.94 | 1,788 | 1.02 | 1.35 | 0.66 | 114 | ||||||||||||||||||||||||||||||||||
| 38.50 | 8.40 | 1,176 | 1.52 | 1.84 | 0.18 | 114 | ||||||||||||||||||||||||||||||||||
| 35.97 | 26.54 | 99,381 | 1.26 | 1.54 | 1.32 | (e) | 141 | |||||||||||||||||||||||||||||||||
| 28.20 | 25.63 | 19,416 | 2.00 | 2.29 | 0.58 | (e) | 141 | |||||||||||||||||||||||||||||||||
| 44.76 | 27.05 | 12,204 | 0.86 | 1.13 | 1.74 | (e) | 141 | |||||||||||||||||||||||||||||||||
| 35.92 | 26.91 | 1,310 | 1.01 | 1.29 | 1.53 | (e) | 141 | |||||||||||||||||||||||||||||||||
| 35.62 | 26.21 | 1,154 | 1.51 | 1.79 | 0.96 | (e) | 141 | |||||||||||||||||||||||||||||||||
| 28.75 | 9.60 | (g) | 87,084 | 1.25 | 1.52 | 0.79 | (f) | 85 | ||||||||||||||||||||||||||||||||
| 22.62 | 8.78 | (g) | 17,808 | 2.00 | 2.27 | 0.04 | (f) | 85 | ||||||||||||||||||||||||||||||||
| 35.67 | 10.02 | (g) | 12,310 | 0.85 | 1.11 | 1.30 | (f) | 85 | ||||||||||||||||||||||||||||||||
| 28.75 | 9.82 | (g) | 455 | 1.00 | 1.26 | 1.11 | (f) | 85 | ||||||||||||||||||||||||||||||||
| 28.54 | 9.35 | (g) | 699 | 1.50 | 1.75 | 0.52 | (f) | 85 | ||||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 87 |
GOLDMAN SACHS U.S. EQUITY INSIGHTS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from Investment Operations | Distributions to shareholders | |||||||||||||||||||||||||||||
| Year - Share Class | Net asset value, beginning of year | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | Total distributions | |||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||
2016 - A | $ | 41.46 | $ | 0.38 | $ | 0.49 | $ | 0.87 | $ | (0.38 | ) | $ | (1.19 | ) | $ | (1.57 | ) | |||||||||||||
2016 - C | 37.88 | 0.08 | 0.44 | 0.52 | (0.11 | ) | (1.19 | ) | (1.30 | ) | ||||||||||||||||||||
2016 - Institutional | 42.60 | 0.54 | 0.52 | 1.06 | (0.55 | ) | (1.19 | ) | (1.74 | ) | ||||||||||||||||||||
2016 - Service | 41.37 | 0.33 | 0.50 | 0.83 | (0.41 | ) | (1.19 | ) | (1.60 | ) | ||||||||||||||||||||
2016 - IR | 41.13 | 0.45 | 0.50 | 0.95 | (0.50 | ) | (1.19 | ) | (1.69 | ) | ||||||||||||||||||||
2016 - R | 40.91 | 0.27 | 0.49 | 0.76 | (0.36 | ) | (1.19 | ) | (1.55 | ) | ||||||||||||||||||||
2016 - R6 | 42.60 | 0.56 | 0.50 | 1.06 | (0.56 | ) | (1.19 | ) | (1.75 | ) | ||||||||||||||||||||
2015 - A | 40.20 | 0.43 | 1.12 | 1.55 | (0.29 | ) | — | (0.29 | ) | |||||||||||||||||||||
2015 - C | 36.78 | 0.11 | 1.03 | 1.14 | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||||||
2015 - Institutional | 41.29 | 0.60 | 1.16 | 1.76 | (0.45 | ) | — | (0.45 | ) | |||||||||||||||||||||
2015 - Service | 40.12 | 0.36 | 1.15 | 1.51 | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||||||
2015 - IR | 39.89 | 0.51 | 1.13 | 1.64 | (0.40 | ) | — | (0.40 | ) | |||||||||||||||||||||
2015 - R | 39.80 | 0.26 | 1.18 | 1.44 | (0.33 | ) | — | (0.33 | ) | |||||||||||||||||||||
2015 - R6 (Commenced July 15, 2016) | 43.19 | 0.14 | (0.73 | ) | (0.59 | ) | — | — | — | |||||||||||||||||||||
2014 - A | 34.52 | 0.33 | 5.71 | 6.04 | (0.36 | ) | — | (0.36 | ) | |||||||||||||||||||||
2014 - C | 31.63 | 0.05 | 5.24 | 5.29 | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||||||
2014 - Institutional | 35.44 | 0.49 | 5.86 | 6.35 | (0.50 | ) | — | (0.50 | ) | |||||||||||||||||||||
2014 - Service | 34.44 | 0.29 | 5.71 | 6.00 | (0.32 | ) | — | (0.32 | ) | |||||||||||||||||||||
2014 - IR | 34.26 | 0.42 | 5.67 | 6.09 | (0.46 | ) | — | (0.46 | ) | |||||||||||||||||||||
2014 - R | 34.16 | 0.23 | 5.67 | 5.90 | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||||||
2013 - A | 26.80 | 0.44 | 7.68 | 8.12 | (0.40 | ) | — | (0.40 | ) | |||||||||||||||||||||
2013 - C | 24.59 | 0.19 | 7.07 | 7.26 | (0.22 | ) | — | (0.22 | ) | |||||||||||||||||||||
2013 - Institutional | 27.51 | 0.53 | 7.91 | 8.44 | (0.51 | ) | — | (0.51 | ) | |||||||||||||||||||||
2013 - Service | 26.76 | 0.41 | 7.65 | 8.06 | (0.38 | ) | — | (0.38 | ) | |||||||||||||||||||||
2013 - IR | 26.62 | 0.45 | 7.67 | 8.12 | (0.48 | ) | — | (0.48 | ) | |||||||||||||||||||||
2013 - R | 26.58 | 0.36 | 7.61 | 7.97 | (0.39 | ) | — | (0.39 | ) | |||||||||||||||||||||
2012 - A | 24.21 | 0.33 | (e) | 2.70 | (f) | 3.03 | (0.44 | ) | — | (0.44 | ) | |||||||||||||||||||
2012 - C | 22.25 | 0.13 | (e) | 2.48 | (f) | 2.61 | (0.27 | ) | — | (0.27 | ) | |||||||||||||||||||
2012 - Institutional | 24.82 | 0.44 | (e) | 2.77 | (f) | 3.21 | (0.52 | ) | — | (0.52 | ) | |||||||||||||||||||
2012 - Service | 24.14 | 0.30 | (e) | 2.70 | (f) | 3.00 | (0.38 | ) | — | (0.38 | ) | |||||||||||||||||||
2012 - IR | 24.08 | 0.37 | (e) | 2.69 | (f) | 3.06 | (0.52 | ) | — | (0.52 | ) | |||||||||||||||||||
2012 - R | 23.98 | 0.22 | (e) | 2.73 | (f) | 2.95 | (0.35 | ) | — | (0.35 | ) | |||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (d) | Annualized. |
| (e) | Reflects income recognized from special dividends which amounted to $0.06 per share and 0.23% of average net assets. |
| (f) | Reflects payment from affiliate relating to certain investment transactions which amounted to $0.02 per share. Excluding such payment, the total return would have been 12.61%, 11.75%, 11.75%, 13.08%, 12.50%, 12.87%, and 12.33%, respectively. |
| 88 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY INSIGHTS FUND
| Net asset value, end of year | Total return(b) | Net assets, end of year (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income to average net assets | Portfolio turnover rate(c) | ||||||||||||||||||||||||||||||||||
| $ | 40.76 | 2.25 | % | $ | 251,466 | 0.96 | % | 1.18 | % | 0.96 | % | 213 | % | |||||||||||||||||||||||||||
| 37.10 | 1.48 | 31,377 | 1.71 | 1.93 | 0.21 | 213 | ||||||||||||||||||||||||||||||||||
| 41.92 | 2.66 | 177,412 | 0.56 | 0.78 | 1.33 | 213 | ||||||||||||||||||||||||||||||||||
| 40.60 | 2.15 | 5,473 | 1.06 | 1.28 | 0.83 | 213 | ||||||||||||||||||||||||||||||||||
| 40.39 | 2.48 | 18,322 | 0.71 | 0.93 | 1.13 | 213 | ||||||||||||||||||||||||||||||||||
| 40.12 | 1.99 | 30,341 | 1.21 | 1.43 | 0.70 | 213 | ||||||||||||||||||||||||||||||||||
| 41.91 | 2.66 | 60 | 0.55 | 0.77 | 1.36 | 213 | ||||||||||||||||||||||||||||||||||
| 41.46 | 3.86 | 272,738 | 0.96 | 1.17 | 1.04 | 224 | ||||||||||||||||||||||||||||||||||
| 37.88 | 3.09 | 37,811 | 1.71 | 1.92 | 0.28 | 224 | ||||||||||||||||||||||||||||||||||
| 42.60 | 4.27 | 121,863 | 0.56 | 0.77 | 1.42 | 224 | ||||||||||||||||||||||||||||||||||
| 41.37 | 3.75 | 3,344 | 1.06 | 1.27 | 0.86 | 224 | ||||||||||||||||||||||||||||||||||
| 41.13 | 4.12 | 4,615 | 0.71 | 0.92 | 1.24 | 224 | ||||||||||||||||||||||||||||||||||
| 40.91 | 3.58 | 27,685 | 1.21 | 1.42 | 0.64 | 224 | ||||||||||||||||||||||||||||||||||
| 42.60 | (1.37 | ) | 10 | 0.55 | (d) | 0.74 | (d) | 1.37 | (d) | 224 | ||||||||||||||||||||||||||||||
| 40.20 | 17.67 | 275,574 | 0.97 | 1.21 | 0.88 | 222 | ||||||||||||||||||||||||||||||||||
| 36.78 | 16.80 | 36,503 | 1.72 | 1.96 | 0.13 | 222 | ||||||||||||||||||||||||||||||||||
| 41.29 | 18.14 | 105,300 | 0.57 | 0.81 | 1.27 | 222 | ||||||||||||||||||||||||||||||||||
| 40.12 | 17.57 | 1,132 | 1.07 | 1.31 | 0.78 | 222 | ||||||||||||||||||||||||||||||||||
| 39.89 | 17.98 | 1,003 | 0.72 | 0.96 | 1.13 | 222 | ||||||||||||||||||||||||||||||||||
| 39.80 | 17.42 | 457 | 1.22 | 1.46 | 0.63 | 222 | ||||||||||||||||||||||||||||||||||
| 34.52 | 30.75 | 256,626 | 0.95 | 1.21 | 1.46 | 203 | ||||||||||||||||||||||||||||||||||
| 31.63 | 29.78 | 34,143 | 1.70 | 1.96 | 0.70 | 203 | ||||||||||||||||||||||||||||||||||
| 35.44 | 31.27 | 64,809 | 0.56 | 0.82 | 1.70 | 203 | ||||||||||||||||||||||||||||||||||
| 34.44 | 30.57 | 1,020 | 1.05 | 1.31 | 1.37 | 203 | ||||||||||||||||||||||||||||||||||
| 34.26 | 31.06 | 546 | 0.71 | 0.97 | 1.48 | 203 | ||||||||||||||||||||||||||||||||||
| 34.16 | 30.42 | 343 | 1.20 | 1.46 | 1.19 | 203 | ||||||||||||||||||||||||||||||||||
| 26.80 | 12.69 | (f) | 239,796 | 0.95 | 1.20 | 1.31 | (e) | 121 | ||||||||||||||||||||||||||||||||
| 24.59 | 11.84 | (f) | 30,979 | 1.70 | 1.95 | 0.55 | (e) | 121 | ||||||||||||||||||||||||||||||||
| 27.51 | 13.16 | (f) | 33,613 | 0.55 | 0.80 | �� | 1.69 | (e) | 121 | |||||||||||||||||||||||||||||||
| 26.76 | 12.58 | (f) | 1,036 | 1.05 | 1.30 | 1.18 | (e) | 121 | ||||||||||||||||||||||||||||||||
| 26.62 | 12.96 | (f) | 198 | 0.70 | 0.95 | 1.45 | (e) | 121 | ||||||||||||||||||||||||||||||||
| 26.58 | 12.42 | (f) | 336 | 1.20 | 1.44 | 0.85 | (e) | 121 | ||||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 89 |
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements
October 31, 2016
| 1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
| Fund | Share Classes Offered | Diversified/ Non-diversified | ||
Large Cap Growth Insights, Large Cap Value Insights, Small Cap Equity Insights and U.S. Equity Insights | A, C, Institutional, Service, IR, R and R6 | Diversified | ||
Small Cap Growth Insights and Small Cap Value Insights | A, C, Institutional, IR, R and R6 | Diversified |
Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Service, Class IR, Class R and Class R6 Shares are not subject to a sales charge.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to a management agreement (the “Agreement”) with the Trust.
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.
A. Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income, net of any foreign withholding taxes, less any amounts reclaimable, and securities lending income. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees.
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly,
90
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:
| Fund | Income Distributions Declared/Paid | Capital Gains Distributions Declared/Paid | ||||
Large Cap Value Insights | Quarterly | Annually | ||||
Large Cap Growth Insights, Small Cap Equity Insights, Small Cap Growth Insights, Small Cap Value Insights and U.S. Equity Insights | Annually | Annually |
Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Funds’ policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ portfolio investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
91
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities are valued at the last bid price for long positions and at the last ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
Money Market Funds — Investments in the Goldman Sachs Financial Square Money Market Fund and the Goldman Sachs Financial Square Government Fund (“Underlying Funds”) are valued at the NAV of the Institutional Share class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers.
Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or settlement price and typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
Short Term Investments — Short-term investments having a maturity of 60 days or less are valued using available market quotations as provided by a third party pricing vendor or broker. Prior to October 11, 2016, such securities were valued at amortized cost. These investments are classified as Level 2 of the fair value hierarchy.
92
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Funds’ investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.
C. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of October 31, 2016:
| LARGE CAP GROWTH INSIGHTS | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Europe | $ | 14,431,688 | $ | — | $ | — | ||||||
North America | 804,698,015 | — | — | |||||||||
Investment Company | 7,929,150 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 1,885,575 | — | — | |||||||||
| Total | $ | 828,944,428 | $ | — | $ | — | ||||||
| Derivative Type | ||||||||||||
| Liabilities(b) | ||||||||||||
Futures Contracts | $ | (7,866 | ) | $ | — | $ | — | |||||
| LARGE CAP VALUE INSIGHTS | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Europe | $ | 15,868,359 | $ | — | $ | — | ||||||
North America | 409,802,895 | — | — | |||||||||
Investment Company | 3,571,370 | — | — | |||||||||
| Total | $ | 429,242,624 | $ | — | $ | — | ||||||
| Derivative Type | ||||||||||||
| Liabilities(b) | ||||||||||||
Futures Contracts | $ | (137,778 | ) | $ | — | $ | — | |||||
93
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| SMALL CAP EQUITY INSIGHTS | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Europe | $ | 909,322 | $ | — | $ | — | ||||||
North America | 231,516,458 | — | — | |||||||||
Investment Company | 2,983,493 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 5,850,847 | — | — | |||||||||
| Total | $ | 241,260,120 | $ | — | $ | — | ||||||
| Derivative Type | ||||||||||||
| Liabilities(b) | ||||||||||||
Futures Contracts | $ | (222,506 | ) | $ | — | $ | — | |||||
| SMALL CAP GROWTH INSIGHTS | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | 500,123 | $ | — | $ | — | ||||||
Europe | 2,300,646 | — | — | |||||||||
North America | 211,672,766 | — | 45,262 | |||||||||
Investment Company | 4,676,926 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 6,824,350 | — | — | |||||||||
| Total | $ | 225,974,811 | $ | — | $ | 45,262 | ||||||
| Derivative Type | ||||||||||||
| Liabilities(b) | ||||||||||||
Futures Contracts | $ | (59,933 | ) | $ | — | $ | — | |||||
| SMALL CAP VALUE INSIGHTS | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Europe | $ | 395,052 | $ | — | $ | — | ||||||
North America | 131,884,317 | — | — | |||||||||
Investment Company | 1,659,749 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 2,354,525 | — | — | |||||||||
| Total | $ | 136,293,643 | $ | — | $ | — | ||||||
94
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| SMALL CAP VALUE INSIGHTS (continued) | ||||||||||||
| Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
| Liabilities(b) | ||||||||||||
Futures Contracts | $ | (40,600 | ) | $ | — | $ | — | |||||
| U.S. EQUITY INSIGHTS | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Europe | $ | 16,750,480 | $ | — | $ | — | ||||||
North America | 486,138,477 | — | — | |||||||||
Investment Company | 4,745,871 | — | — | |||||||||
| Total | $ | 507,634,828 | $ | — | $ | — | ||||||
| Derivative Type | ||||||||||||
| Liabilities(b) | ||||||||||||
Futures Contracts | $ | (144,857 | ) | $ | — | $ | — | |||||
| (a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principle exchange or system on which they are traded, which may differ from country of domicile. |
| (b) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedules of Investments.
| 4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts as of October 31, 2016. These instruments were used as part of the Funds’ investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.
| Risk | Fund | Statements of Assets and Liabilities | Liabilities(a) | |||||||||||||||||
Equity | Large Cap Growth Insights | Variation margin on certain derivative contracts | $ | (7,866 | ) | |||||||||||||||
Equity | Large Cap Value Insights | Variation margin on certain derivative contracts | (137,778) | |||||||||||||||||
Equity | Small Cap Equity Insights | Variation margin on certain derivative contracts | (222,506) | |||||||||||||||||
Equity | Small Cap Growth Insights | Variation margin on certain derivative contracts | (59,933) | |||||||||||||||||
Equity | Small Cap Value Insights | Variation margin on certain derivative contracts | (40,600 | ) | ||||||||||||||||
Equity | U.S. Equity Insights | Variation margin on certain derivative contracts | (144,857 | ) | ||||||||||||||||
| (a) | Includes unrealized gain (loss) on futures described in the Additional Investment Information sections of the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
95
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 4. INVESTMENTS IN DERIVATIVES (continued) |
The following table sets forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended October 31, 2016. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:
| Risk | Fund | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||||||||
Equity | Large Cap Growth Insights | $ | 693,327 | $ | (606,921 | ) | 137 | |||||||||||||
Equity | Large Cap Value Insights | 838,754 | (335,335 | ) | 56 | |||||||||||||||
Equity | Small Cap Equity Insights | 1,190,757 | (238,445 | ) | 46 | |||||||||||||||
Equity | Small Cap Growth Insights | 213,007 | (147,484 | ) | 25 | |||||||||||||||
Equity | Small Cap Value Insights | 231,919 | (49,001 | ) | 21 | |||||||||||||||
Equity | U.S. Equity Insights | 908,807 | (568,167 | ) | 74 | |||||||||||||||
| (a) | Average number of contracts is based on the average of month end balances for the fiscal year ended October 31, 2016. |
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivatives counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives (including forward foreign currency exchange contracts, and certain options and swaps), and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
Collateral and margin requirements differ between exchange traded derivatives and OTC derivatives. Margin requirements are established by the broker or clearing house for exchange-traded and centrally cleared derivatives (financial futures contracts, options and centrally cleared swaps) pursuant to governing agreements for those instrument types. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract-specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Additionally, a Fund may be required to post initial margin to the counterparty, the terms of which would be outlined in the confirmation of the OTC transaction.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivative contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. A Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that the Investment Adviser believes to be of good standing and by monitoring the financial stability of those counterparties.
Additionally, the netting of assets and liabilities and the offsetting of collateral pledged or received are based on contractual netting/set-off provisions in the ISDA Master Agreement or similar agreements. However, in the event of a default or insolvency of a counterparty, a court could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of setoff that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws.
96
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
For the fiscal year ended October 31, 2016, contractual and effective net management fees with GSAM were at the following rates:
| Contractual Management Rate | Effective Net Management Rate* | |||||||||||||||||||||||||||||
| Fund | First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | ||||||||||||||||||||||||
Large Cap Growth Insights | 0.65 | % | 0.59 | % | 0.56 | % | 0.55 | % | 0.54 | % | 0.65 | % | 0.52 | % | ||||||||||||||||
Large Cap Value Insights | 0.60 | 0.54 | 0.51 | 0.50 | 0.49 | 0.60 | 0.52 | |||||||||||||||||||||||
Small Cap Equity Insights | 0.85 | 0.85 | 0.77 | 0.73 | 0.72 | 0.85 | 0.80 | |||||||||||||||||||||||
Small Cap Growth Insights | 0.85 | 0.85 | 0.77 | 0.73 | 0.72 | 0.85 | 0.81 | |||||||||||||||||||||||
Small Cap Value Insights | 0.85 | 0.85 | 0.77 | 0.73 | 0.72 | 0.85 | 0.80 | |||||||||||||||||||||||
U.S. Equity Insights | 0.65 | 0.59 | 0.56 | 0.55 | 0.54 | 0.65 | 0.52 | |||||||||||||||||||||||
| * | GSAM has agreed to waive a portion of its management fees in order to achieve effective net management fee rates, as defined in the Funds’ prospectus. These arrangements will remain in effect through at least February 26, 2017, and prior to such date GSAM may not terminate the arrangements without the approval of the Board of Trustees. These management fee waivers may be modified or terminated by GSAM at its discretion and without shareholder approval after such date, although GSAM does not presently intend to do so. Prior to February 26, 2016, the effective net management rates for the Small Cap Equity Insights and Small Cap Value Insights Funds were 0.82% and 0.81% respectively. The Effective Net Management Rates above are calculated based on management rates before and after waivers had been adjusted, if applicable. |
The Funds invest in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to any of the affiliated Underlying Funds in which the Funds invest. For the fiscal year ended October 31, 2016, the management fee waived by GSAM for each Fund was as follows:
| Fund | Management Fee Waived | |||||
Large Cap Growth Insights Fund | $ | 2,485 | ||||
Large Cap Value Insights Fund | 945 | |||||
Small Cap Equity Insights Fund | 1,220 | |||||
Small Cap Growth Insights Fund | 1,041 | |||||
Small Cap Value Insights Fund | 289 | |||||
U.S. Equity Insights Fund | 1,626 | |||||
97
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
B. Distribution and Service Plans — The Trust, on behalf of each Fund, has adopted Distribution and Service Plans (the “Plans”). Under the Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, at the following annual rates calculated on a Fund’s average daily net assets of each respective share class:
| Distribution and Service Plan Rates | ||||||||||||
| Class A* | Class C | Class R* | ||||||||||
Distribution Plan | 0.25 | % | 0.75 | % | 0.50 | % | ||||||
Service Plan | — | 0.25 | — | |||||||||
| * | With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution Plan to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority. |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the fiscal year ended October 31, 2016, Goldman Sachs advised that it retained the following amounts:
| Front End Sales Charge | Contingent Deferred Sales Charge | |||||||||
| Fund | Class A | Class C | ||||||||
Large Cap Growth Insights | $ | 25,234 | $ | — | ||||||
Large Cap Value Insights | 7,187 | 854 | ||||||||
Small Cap Equity Insights | 1,910 | 702 | ||||||||
Small Cap Growth Insights | 2,207 | 11 | ||||||||
Small Cap Value Insights | 3,464 | 1 | ||||||||
U.S. Equity Insights | 9,909 | 906 | ||||||||
D. Service Plan and Shareholder Administration Plan — The Trust, on behalf of each Fund that offers Service Shares, has adopted a Service Plan and a Shareholder Administration Plan. These plans allow for service organizations (including Goldman Sachs) to provide varying levels of personal and account maintenance and shareholder administration services to their customers who are beneficial owners of such shares. The Service Plan and Shareholder Administration Plan each provide for compensation to the service organizations which is accrued daily and paid monthly at an annual rate of 0.25% (0.50% in aggregate) of the average daily net assets of the Service Shares.
E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.19% of the average daily net assets of Class A, Class C, Class IR and Class R Shares; 0.02% of the average daily net assets of Class R6 Shares; and 0.04% of the average daily net assets of Institutional and Service Shares.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees, shareholder administration fees (as applicable), taxes, interest, brokerage fees, shareholder meeting, litigation, indemnification and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily
98
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
net assets are 0.004%. These Other Expense limitations will remain in place through at least February 26, 2017, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the fiscal year ended October 31, 2016, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| Fund | Management Fee Waiver | Other Expense Reimbursements | Total Expense Reductions | |||||||||||
Large Cap Growth Insights Fund | $ | 1,131,675 | $ | 517,042 | $ | 1,648,717 | ||||||||
Large Cap Value Insights Fund | 307,873 | 391,424 | 699,297 | |||||||||||
Small Cap Equity Insights Fund | 83,014 | 342,635 | 425,649 | |||||||||||
Small Cap Growth Insights Fund | 65,658 | 339,498 | 405,156 | |||||||||||
Small Cap Value Insights Fund | 62,148 | 327,134 | 389,282 | |||||||||||
U.S. Equity Insights Fund | 624,575 | 413,702 | 1,038,277 | |||||||||||
G. Line of Credit Facility — As of October 31, 2016, the Funds participated in a $1,100,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates (“Other Borrowers”). This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the fiscal year ended October 31, 2016, the Funds did not have any borrowings under the facility.
H. Other Transactions with Affiliates — For the fiscal year ended October 31, 2016, Goldman Sachs earned $1,090, $789, $1,211, $944, $171 and $923 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Large Cap Growth Insights, Large Cap Value Insights, Small Cap Equity Insights, Small Cap Growth Insights, Small Cap Value Insights and U.S. Equity Insights Funds, respectively.
As of October 31, 2016, the following Fund of Funds Portfolios were beneficial owners of 5% or more of total outstanding shares of the following Funds:
| Fund | Goldman Sachs Balanced Strategy Portfolio | Goldman Sachs Equity Growth Strategy Portfolio | Goldman Sachs Growth Strategy Portfolio | Goldman Sachs Growth and Income Strategy Portfolio | Goldman Sachs Enhanced Dividend Global Equity Portfolio | |||||||||||||||||
Large Cap Growth Insights | — | % | 5 | % | 7 | % | 6 | % | — | % | ||||||||||||
Large Cap Value Insights | 8 | 14 | 26 | 23 | — | |||||||||||||||||
Small Cap Equity Insights | — | 5 | 12 | 9 | 17 | |||||||||||||||||
99
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
As of October 31, 2016, The Goldman Sachs Group, Inc. was the beneficial owner of 5% or more of outstanding Class R6 Shares of the following Funds:
| Fund | Class R6 | |||||
Large Cap Value Insights | 100 | % | ||||
Small Cap Equity Insights | 29 | |||||
Small Cap Value Insights | 99 | |||||
U.S. Equity Insights | 17 | |||||
The table below shows the transactions in and earnings from investments in the Goldman Sachs Financial Square Government Fund for the fiscal year ended October 31, 2016:
| Fund | Market Value | Purchases at Cost | Proceeds from Sales | Market Value 10/31/16 | Dividend Income | |||||||||||||||||
Large Cap Growth Insights Fund | — | $ | 48,604,032 | $ | (40,674,882 | ) | $ | 7,929,150 | $ | 4,599 | ||||||||||||
Large Cap Value Insights Fund | — | 21,023,633 | (17,452,263 | ) | 3,571,370 | 1,800 | ||||||||||||||||
Small Cap Equity Insights | — | 36,133,878 | (33,150,385 | ) | 2,983,493 | 2,257 | ||||||||||||||||
Small Cap Growth Insights | — | 21,624,878 | (16,947,952 | ) | 4,676,926 | 1,968 | ||||||||||||||||
Small Cap Value Insights | — | 3,363,426 | (1,703,677 | ) | 1,659,749 | 558 | ||||||||||||||||
U.S. Equity Insights Fund | — | 45,730,508 | (40,984,637 | ) | 4,745,871 | 3,037 | ||||||||||||||||
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended October 31, 2016, were as follows:
| Fund | Purchases | Sales and Maturities | ||||||||
Large Cap Growth Insights | $ | 2,170,441,859 | $ | 2,129,064,544 | ||||||
Large Cap Value Insights | 914,987,276 | 868,002,802 | ||||||||
Small Cap Equity Insights | 346,129,210 | 256,237,635 | ||||||||
Small Cap Growth Insights | 314,356,043 | 218,288,078 | ||||||||
Small Cap Value Insights | 167,585,222 | 177,370,200 | ||||||||
U.S. Equity Insights | 1,048,934,900 | 998,983,836 | ||||||||
| 7. SECURITIES LENDING |
Pursuant to exemptive relief granted by the SEC and the terms and conditions contained therein, the Funds may lend their securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman
100
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
| 7. SECURITIES LENDING (continued) |
Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Funds’ securities lending procedures, the Funds receive cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Funds, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Funds on the next business day. As with other extensions of credit, the Funds may experience delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Funds or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statements of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The Funds invest the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Trust. Prior to September 30, 2016, the cash collateral had been invested in the Goldman Sachs Financial Square Money Market Fund. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive an investment advisory fee of up to 0.205% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, GSAL will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by GSAL to exercise these remedies, the Funds sustain losses as a result of a borrower’s default, GSAL indemnifies the Funds by purchasing replacement securities at GSAL’s expense, or paying the Funds an amount equal to the market value of the replacement securities, subject to an exclusion for any shortfalls resulting from a loss of value in the cash collateral pool due to reinvestment risk and a requirement that the Funds agree to assign rights to the collateral to GSAL for purpose of using the collateral to cover purchase of replacement securities as more fully described in the Securities Lending Agency Agreement. The Funds’ loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral is at least equal to the value of the cash received. The amounts of the Funds’ overnight and continuous agreements collateralized by common stocks which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of October 31, 2016 are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities.
Both the Funds and GSAL received compensation relating to the lending of the Funds’ securities. The amounts earned by the Funds for the fiscal year ended October 31, 2016, are reported under Investment Income on the Statements of Operations.
101
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 7. SECURITIES LENDING (continued) |
The table below details securities lending activity with affiliates of Goldman Sachs:
| For the Fiscal Year Ended October 31, 2016 | Amounts Payable to Goldman Sachs Upon Return of Securities Loaned as of October 31, 2016 | |||||||||||||
| Fund | Earnings of GSAL Relating to Securities Loaned | Amounts Received by the Funds from Lending to Goldman Sachs | ||||||||||||
Large Cap Growth Insights | $ | 871 | $ | 72 | $ | 846,225 | ||||||||
Large Cap Value Insights | 965 | 1,543 | — | |||||||||||
Small Cap Equity Insights | 10,121 | 6,986 | 322,675 | |||||||||||
Small Cap Growth Insights | 17,766 | 13,655 | 875,975 | |||||||||||
Small Cap Value Insights | 3,619 | 4,283 | 176,150 | |||||||||||
U.S. Equity Insights | 124 | 431 | — | |||||||||||
The following table provides information about the Funds’ investments in the Goldman Sachs Financial Square Money Market Fund for the fiscal year ended October 31, 2016:
| Fund | Number of Shares Held Beginning of Year | Shares Bought | Shares Sold | Number of Shares Held End of Year | Value at End of Year | |||||||||||||||||
Large Cap Growth Insights | — | 10,678,600 | (10,678,600 | ) | — | $ | — | |||||||||||||||
Large Cap Value Insights | 1,543,540 | 8,028,955 | (9,572,495 | ) | — | — | ||||||||||||||||
Small Cap Equity Insights | 3,040,011 | 58,505,841 | (61,545,852 | ) | — | — | ||||||||||||||||
Small Cap Growth Insights | 3,384,225 | 49,266,842 | (52,651,067 | ) | — | — | ||||||||||||||||
Small Cap Value Insights | 3,158,375 | 26,725,428 | (29,883,803 | ) | — | — | ||||||||||||||||
U.S. Equity Insights | 729,425 | 1,777,850 | (2,507,275 | ) | — | — | ||||||||||||||||
The following table provides information about the Funds’ investments in the Goldman Sachs Financial Square Government Fund for the fiscal year ended October 31, 2016:
| Fund | Number of Shares Held Beginning of Year | Shares Bought | Shares Sold | Number of Shares Held End of Year | Value at End of Year | |||||||||||||||||
Large Cap Growth Insights | — | 3,673,200 | (1,787,625 | ) | 1,885,575 | $ | 1,885,575 | |||||||||||||||
Large Cap Value Insights | — | 735,525 | (735,525 | ) | — | — | ||||||||||||||||
Small Cap Equity Insights | — | 11,393,940 | (5,543,093 | ) | 5,850,847 | 5,850,847 | ||||||||||||||||
Small Cap Growth Insights | — | 10,975,801 | (4,151,451 | ) | 6,842,350 | 6,824,350 | ||||||||||||||||
Small Cap Value Insights | — | 4,395,204 | (2,040,679 | ) | 2,354,525 | 2,354,525 | ||||||||||||||||
U.S. Equity Insights | — | — | — | — | — | |||||||||||||||||
102
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
| 8. TAX INFORMATION |
The tax character of distributions paid during the fiscal year ended October 31, 2016 was as follows:
Large Cap Growth Insights | Large Cap Value Insights | Small Cap Equity Insights | Small Cap Insights | Small Cap Value Insights | U.S. Equity Insights | |||||||||||||||||||
Distribution paid from: | ||||||||||||||||||||||||
Ordinary income | $ | 5,998,791 | $ | 5,801,423 | $ | 546,095 | $ | 3,238,832 | $ | 1,827,012 | $ | 4,768,146 | ||||||||||||
Net long-term capital gains | — | — | — | 7,363,769 | 6,529,301 | 13,484,645 | ||||||||||||||||||
Total taxable distributions | $ | 5,998,791 | $ | 5,801,423 | $ | 546,095 | $ | 10,602,601 | $ | 8,356,313 | $ | 18,252,791 | ||||||||||||
The tax character of distributions paid during the fiscal year ended October 31, 2015 was as follows:
Large Cap Insights | Large Cap Value Insights | Small Cap Equity Insights | Small Cap Growth Insights | Small Cap Value Insights | U.S. Equity | |||||||||||||||||||
Distribution paid from: | ||||||||||||||||||||||||
Ordinary income | $ | 3,671,218 | $ | 7,737,765 | $ | 426,865 | $ | — | $ | 424,071 | $ | 3,562,323 | ||||||||||||
Net long-term capital gains | — | — | — | 4,119,103 | 2,180,611 | |||||||||||||||||||
Total taxable distributions | $ | 3,671,218 | $ | 7,737,765 | $ | 426,865 | $ | 4,119,103 | $ | 2,604,682 | $ | 3,562,323 | ||||||||||||
As of October 31, 2016, the components of accumulated earnings (losses) on a tax basis were as follows:
| Large Cap Growth Insights | Large Cap Value Insights | Small Cap Equity Insights | Small Cap Growth Insights | Small Cap Value Insights | U.S. Equity Insights | |||||||||||||||||||
Undistributed ordinary income — net | $ | 6,011,995 | $ | 598,373 | $ | 995,928 | $ | 249,445 | $ | 1,065,991 | $ | 10,197,215 | ||||||||||||
Undistributed long-term capital gains | — | — | — | — | 5,417,889 | 11,332,829 | ||||||||||||||||||
Total undistributed earnings | $ | 6,011,995 | $ | 598,373 | $ | 995,928 | $ | 249,445 | $ | 6,483,880 | $ | 21,530,044 | ||||||||||||
Capital loss carryforwards:(1)(2) | ||||||||||||||||||||||||
Expiring 2017 | (42,164,626 | ) | (295,670,461 | ) | (69,518,735 | ) | — | — | — | |||||||||||||||
Perpetual Short-Term | — | — | — | (1,498,071 | ) | — | — | |||||||||||||||||
Total capital loss carryforwards | $ | (42,164,626 | ) | $ | (295,670,461 | ) | $ | (69,518,735 | ) | $ | (1,498,071 | ) | $ | — | $ | — | ||||||||
Unrealized gains (losses) — net | 10,679,382 | (3,730,551 | ) | (477,135 | ) | 2,518,242 | 6,320,615 | 17,780,097 | ||||||||||||||||
Total accumulated earnings (losses) net | $ | (25,473,249 | ) | $ | (298,802,639 | ) | $ | (68,999,942 | ) | $ | 1,269,616 | $ | 12,804,495 | $ | 39,310,141 | |||||||||
| (1) | Expiration occurs on October 31 of the year indicated. |
| (2) | The Large Cap Growth Insights, Large Cap Value Insights, Small Cap Equity Insights utilized $40,306,332, $6,310,938 and $5,349,547, respectively, of capital losses in the current fiscal year. |
| (3) | The Large Cap Growth Insights Fund wrote off $174,784,735 of capital losses in the current fiscal year. |
103
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 8. TAX INFORMATION (continued) |
As of October 31, 2016, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Large Cap Insights | Large Cap Insights | Small Cap Insights | Small Cap Insights | Small Cap Value Insights | U.S. Equity Insights | |||||||||||||||||||
Tax Cost | $ | 818,265,046 | $ | 432,973,175 | $ | 241,737,255 | $ | 223,501,831 | $ | 129,973,028 | $ | 489,854,731 | ||||||||||||
Gross unrealized gain | 46,686,129 | 13,318,076 | 24,726,321 | 15,835,442 | 14,415,895 | 32,116,549 | ||||||||||||||||||
Gross unrealized loss | (36,006,747 | ) | (17,048,627 | ) | (25,203,456 | ) | (13,317,200 | ) | (8,095,280 | ) | (14,336,452 | ) | ||||||||||||
Net unrealized gains (losses) | $ | 10,679,382 | $ | (3,730,551 | ) | $ | (477,135 | ) | $ | 2,518,242 | $ | 6,320,615 | $ | 17,780,097 | ||||||||||
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales and net mark to market gains (losses) on regulated futures contracts, differences in the tax treatment of underlying fund investments, and passive foreign investment company investments.
In order to present certain components of the Funds’ capital accounts on a tax-basis, certain reclassifications have been recorded to the Funds’ accounts. These reclassifications have no impact on the net asset value of the Funds’ and result primarily from dividend redesignations, and differences in the tax treatment of passive foreign investment company investments, real estate investment trust investments and underlying fund investments, and capital loss carryforwards written off that cannot be utilized for tax purposes.
| Fund | Paid-in Capital | Accumulated Net Realized Gain (Loss) | Undistributed Net Investment Income (Loss) | |||||||||||
Large Cap Growth Insights | $ | (174,784,735 | ) | $ | 174,811,940 | $ | (27,205 | ) | ||||||
Large Cap Value Insights | — | 35,843 | (35,843 | ) | ||||||||||
Small Cap Equity Insights | — | 41,227 | (41,227 | ) | ||||||||||
Small Cap Growth Insights | — | 2,010 | (2,010 | ) | ||||||||||
Small Cap Value Insights | — | (16,730 | ) | 16,730 | ||||||||||
U.S. Equity Insights | — | (43,649 | ) | 43,649 | ||||||||||
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
��
| 9. OTHER RISKS |
The Funds’ risks include, but are not limited to, the following:
Derivatives Risk — Loss may result from the Funds investments in derivative instruments. These instruments may be illiquid, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Funds. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. Losses from investments in derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
104
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
| 9. OTHER RISKS (continued) |
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions may cause a Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.
Liquidity Risk — The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions.
Market and Credit Risks — In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Funds may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Funds have unsettled or open transactions defaults.
| 10. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
| 11. SUBSEQUENT EVENTS |
Subsequent events after the Statements of Assets and Liabilities date have been evaluated and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
105
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| Large Cap Growth Insights Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 4,871,878 | $ | 111,616,202 | 6,980,525 | $ | 158,182,514 | ||||||||||
Reinvestment of distributions | 44,935 | 1,011,487 | 29,769 | 663,856 | ||||||||||||
Shares converted from Class B(a) | — | — | 84,680 | 1,853,649 | ||||||||||||
Shares redeemed | (2,754,157 | ) | (62,665,876 | ) | (2,780,922 | ) | (61,357,303 | ) | ||||||||
| 2,162,656 | 49,961,813 | 4,314,052 | 99,342,716 | |||||||||||||
| Class B Shares(a) | ||||||||||||||||
Shares sold | — | — | 1,430 | 28,727 | ||||||||||||
Shares converted to Class A | — | — | (92,267 | ) | (1,853,649 | ) | ||||||||||
Shares redeemed | — | — | (26,872 | ) | (539,733 | ) | ||||||||||
| — | — | (117,709 | ) | (2,364,655 | ) | |||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 592,108 | 12,247,011 | 1,668,170 | 34,397,515 | ||||||||||||
Reinvestment of distributions | 3,411 | 70,030 | 2,142 | 43,723 | ||||||||||||
Shares redeemed | (668,123 | ) | (13,729,680 | ) | (297,232 | ) | (6,075,919 | ) | ||||||||
| (72,604 | ) | (1,412,639 | ) | 1,373,080 | 28,365,319 | |||||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 14,545,738 | 340,385,079 | 16,236,775 | 370,091,930 | ||||||||||||
Reinvestment of distributions | 172,457 | 3,995,824 | 113,490 | 2,601,195 | ||||||||||||
Shares redeemed | (16,847,504 | ) | (399,944,447 | ) | (7,807,696 | ) | (179,500,970 | ) | ||||||||
| (2,129,309 | ) | (55,563,544 | ) | 8,542,569 | 193,192,155 | |||||||||||
| Service Shares | ||||||||||||||||
Shares sold | 571,723 | 13,002,820 | 129,202 | 2,926,882 | ||||||||||||
Reinvestment of distributions | 1,126 | 25,064 | 224 | 4,945 | ||||||||||||
Shares redeemed | (167,522 | ) | (3,819,711 | ) | (13,229 | ) | (296,508 | ) | ||||||||
| 405,327 | 9,208,173 | 116,197 | 2,635,319 | |||||||||||||
| Class IR Shares | ||||||||||||||||
Shares sold | 1,406,369 | 32,214,043 | 1,604,319 | 35,541,423 | ||||||||||||
Reinvestment of distributions | 13,466 | 299,351 | 11,163 | 245,693 | ||||||||||||
Shares redeemed | (918,003 | ) | (20,653,052 | ) | (1,015,414 | ) | (22,474,490 | ) | ||||||||
| 501,832 | 11,860,342 | 600,068 | 13,312,626 | |||||||||||||
| Class R Shares | ||||||||||||||||
Shares sold | 654,611 | 14,454,507 | 521,668 | 11,563,543 | ||||||||||||
Reinvestment of distributions | 1,024 | 22,608 | 358 | 7,860 | ||||||||||||
Shares redeemed | (225,286 | ) | (5,040,108 | ) | (77,735 | ) | (1,703,414 | ) | ||||||||
| 430,349 | 9,437,007 | 444,291 | 9,867,989 | |||||||||||||
| Class R6 Shares(b) | ||||||||||||||||
Shares sold | 352,900 | 8,519,143 | 418 | 10,005 | ||||||||||||
Reinvestment of distributions | 4 | 88 | — | — | ||||||||||||
Shares redeemed | (14,263 | ) | (351,145 | ) | — | (5 | ) | |||||||||
| 338,641 | 8,168,086 | 418 | 10,000 | |||||||||||||
NET INCREASE | 1,636,892 | $ | 31,659,238 | 15,272,966 | $ | 344,361,469 | ||||||||||
| (a) | Class B Shares were converted into Class A Shares at the close of business on November 14, 2014. |
| (b) | Commenced operations on July 31, 2015. |
106
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| Large Cap Value Insights Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 1,084,347 | $ | 18,061,628 | 902,296 | $ | 15,392,196 | ||||||||||
Reinvestment of distributions | 40,809 | 678,235 | 49,079 | 819,032 | ||||||||||||
Shares converted from Class B(a) | — | — | 6,658 | 113,458 | ||||||||||||
Shares redeemed | (1,268,220 | ) | (20,762,429 | ) | (1,005,320 | ) | (17,091,804 | ) | ||||||||
| (143,064 | ) | (2,022,566 | ) | (47,287 | ) | (767,118 | ) | |||||||||
| Class B Shares(a) | ||||||||||||||||
Shares converted to Class A | — | — | (6,694 | ) | (113,458 | ) | ||||||||||
Shares redeemed | — | — | (29,394 | ) | (498,274 | ) | ||||||||||
| — | — | (36,088 | ) | (611,732 | ) | |||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 186,109 | 3,051,426 | 235,997 | 3,989,634 | ||||||||||||
Reinvestment of distributions | 4,326 | 70,982 | 6,337 | 104,927 | ||||||||||||
Shares redeemed | (338,548 | ) | (5,542,854 | ) | (300,441 | ) | (5,066,530 | ) | ||||||||
| (148,113 | ) | (2,420,446 | ) | (58,107 | ) | (971,969 | ) | |||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 7,966,936 | 134,725,679 | 4,901,399 | 82,201,640 | ||||||||||||
Reinvestment of distributions | 283,557 | 4,723,662 | 385,344 | 6,445,256 | ||||||||||||
Shares redeemed | (5,968,082 | ) | (97,125,090 | ) | (10,882,262 | ) | (184,786,985 | ) | ||||||||
| 2,282,411 | 42,324,251 | (5,595,519 | ) | (96,140,089 | ) | |||||||||||
| Service Shares | ||||||||||||||||
Shares sold | 81,528 | 1,340,192 | 183,049 | 3,146,866 | ||||||||||||
Reinvestment of distributions | 4,529 | 75,483 | 5,491 | 91,694 | ||||||||||||
Shares redeemed | (167,144 | ) | (2,823,184 | ) | (118,827 | ) | (2,023,233 | ) | ||||||||
| (81,087 | ) | (1,407,509 | ) | 69,713 | 1,215,327 | |||||||||||
| Class IR Shares | ||||||||||||||||
Shares sold | 469,915 | 7,825,428 | 313,549 | 5,305,827 | ||||||||||||
Reinvestment of distributions | 6,972 | 116,096 | 6,425 | 107,537 | ||||||||||||
Shares redeemed | (220,579 | ) | (3,737,471 | ) | (310,210 | ) | (5,271,427 | ) | ||||||||
| 256,308 | 4,204,053 | 9,764 | 141,937 | |||||||||||||
| Class R Shares | ||||||||||||||||
Shares sold | 42,700 | 722,480 | 57,648 | 975,790 | ||||||||||||
Reinvestment of distributions | 562 | 9,330 | 387 | 6,328 | ||||||||||||
Shares redeemed | (9,398 | ) | (150,510 | ) | (2,338 | ) | (39,551 | ) | ||||||||
| 33,864 | 581,300 | 55,697 | 942,567 | |||||||||||||
| Class R6 Shares(b) | ||||||||||||||||
Shares sold | — | — | 580 | 10,005 | ||||||||||||
Reinvestment of distributions | 10 | 162 | 3 | 46 | ||||||||||||
Shares redeemed | — | — | — | (5 | ) | |||||||||||
| 10 | 162 | 583 | 10,046 | |||||||||||||
NET INCREASE (DECREASE) | 2,200,329 | $ | 41,259,245 | (5,601,244 | ) | $ | (96,181,031 | ) | ||||||||
| (a) | Class B Shares were converted into Class A Shares at the close of business on November 14, 2014. |
| (b) | Commenced operations on July 31, 2015. |
107
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| Small Cap Equity Insights Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 323,863 | $ | 6,101,412 | 466,697 | $ | 8,958,486 | ||||||||||
Reinvestment of distributions | 2,490 | 45,983 | — | — | ||||||||||||
Shares converted from Class B(a) | — | — | 1,362 | 25,015 | ||||||||||||
Shares redeemed | (533,055 | ) | (9,848,556 | ) | (869,634 | ) | (16,742,214 | ) | ||||||||
| (206,702 | ) | (3,701,161 | ) | (401,575 | ) | (7,758,713 | ) | |||||||||
| Class B Shares(a) | ||||||||||||||||
Shares converted to Class A | — | — | (1,528 | ) | (25,015 | ) | ||||||||||
Shares redeemed | — | — | (11,958 | ) | (195,796 | ) | ||||||||||
| — | — | (13,486 | ) | (220,811 | ) | |||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 145,057 | 2,399,687 | 135,642 | 2,304,561 | ||||||||||||
Shares redeemed | (283,778 | ) | (4,679,929 | ) | (242,355 | ) | (4,088,653 | ) | ||||||||
| (138,721 | ) | (2,280,242 | ) | (106,713 | ) | (1,784,092 | ) | |||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 6,934,096 | 136,400,630 | 1,320,351 | 26,154,847 | ||||||||||||
Reinvestment of distributions | 25,392 | 484,997 | 21,563 | 411,859 | ||||||||||||
Shares redeemed | (2,418,764 | ) | (47,250,604 | ) | (3,538,107 | ) | (68,844,250 | ) | ||||||||
| 4,540,724 | 89,635,023 | (2,196,193 | ) | (42,277,544 | ) | |||||||||||
| Service Shares | ||||||||||||||||
Shares sold | 8,039 | 142,654 | 57,853 | 1,105,413 | ||||||||||||
Shares redeemed | (25,558 | ) | (448,418 | ) | (105,174 | ) | (1,938,964 | ) | ||||||||
| (17,519 | ) | (305,764 | ) | (47,321 | ) | (833,551 | ) | |||||||||
| Class IR Shares | ||||||||||||||||
Shares sold | 365,604 | 6,939,445 | 48,785 | 949,246 | ||||||||||||
Reinvestment of distributions | 300 | 5,495 | 34 | 629 | ||||||||||||
Shares redeemed | (44,280 | ) | (857,475 | ) | (14,659 | ) | (275,001 | ) | ||||||||
| 321,624 | 6,087,465 | 34,160 | 674,874 | |||||||||||||
| Class R Shares | ||||||||||||||||
Shares sold | 247,030 | 4,553,458 | 189,009 | 3,602,301 | ||||||||||||
Reinvestment of distributions | 135 | 2,444 | — | — | ||||||||||||
Shares redeemed | (211,710 | ) | (3,853,467 | ) | (162,322 | ) | (3,075,978 | ) | ||||||||
| 35,455 | 702,435 | 26,687 | 526,323 | |||||||||||||
| Class R6 Shares(b) | ||||||||||||||||
Shares sold | 1,287 | 25,078 | 496 | 10,005 | ||||||||||||
Reinvestment of distributions | 3 | 59 | — | — | ||||||||||||
Shares redeemed | (61 | ) | (1,264 | ) | (1 | ) | (5 | ) | ||||||||
| 1,229 | 23,873 | 495 | 10,000 | |||||||||||||
NET INCREASE (DECREASE) | 4,536,090 | $ | 90,161,629 | (2,703,946 | ) | $ | (51,663,514 | ) | ||||||||
| (a) | Class B Shares were converted into Class A Shares at the close of business on November 14, 2014. |
| (b) | Commenced operations on July 31, 2015. |
108
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| Small Cap Growth Insights Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 1,256,023 | $ | 34,420,142 | 545,679 | $ | 17,350,391 | ||||||||||
Reinvestment of distributions | 132,878 | 3,757,782 | 64,770 | 1,925,847 | ||||||||||||
Shares converted from Class B(a) | — | — | 58,348 | 1,833,293 | ||||||||||||
Shares redeemed | (489,404 | ) | (13,725,489 | ) | (306,789 | ) | (9,648,220 | ) | ||||||||
| 899,497 | 24,452,435 | 362,008 | 11,461,311 | |||||||||||||
| Class B Shares(a) | ||||||||||||||||
Shares converted to Class A | — | — | (70,295 | ) | (1,833,293 | ) | ||||||||||
Shares redeemed | — | — | (8,938 | ) | (233,385 | ) | ||||||||||
| — | — | (79,233 | ) | (2,066,678 | ) | |||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 105,278 | 2,387,599 | 74,499 | 1,948,046 | ||||||||||||
Reinvestment of distributions | 35,861 | 815,833 | 18,097 | 445,240 | ||||||||||||
Shares redeemed | (124,443 | ) | (2,724,829 | ) | (54,287 | ) | (1,413,619 | ) | ||||||||
| 16,696 | 478,603 | 38,309 | 979,667 | |||||||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 1,524,472 | 49,642,434 | 1,138,272 | 41,373,091 | ||||||||||||
Reinvestment of distributions | 120,842 | 3,937,033 | 45,703 | 1,541,332 | ||||||||||||
Shares redeemed | (665,765 | ) | (21,096,434 | ) | (237,885 | ) | (8,362,847 | ) | ||||||||
| 979,549 | 32,483,033 | 946,090 | 34,551,576 | |||||||||||||
| Class IR Shares | ||||||||||||||||
Shares sold | 1,634,389 | 47,410,064 | 315,493 | 10,368,520 | ||||||||||||
Reinvestment of distributions | 14,163 | 408,028 | 2,448 | 73,879 | ||||||||||||
Shares redeemed | (143,235 | ) | (4,105,874 | ) | (210,284 | ) | (6,241,716 | ) | ||||||||
| 1,505,317 | 43,712,218 | 107,657 | 4,200,683 | |||||||||||||
| Class R Shares | ||||||||||||||||
Shares sold | 97,388 | 2,535,925 | 54,765 | 1,671,819 | ||||||||||||
Reinvestment of distributions | 5,362 | 147,444 | 1,324 | 38,480 | ||||||||||||
Shares redeemed | (44,244 | ) | (1,191,291 | ) | (8,145 | ) | (254,189 | ) | ||||||||
| 58,506 | 1,492,078 | 47,944 | 1,456,110 | |||||||||||||
| Class R6 Shares(b) | ||||||||||||||||
Shares sold | 228,959 | 7,282,283 | 271 | 10,005 | ||||||||||||
Reinvestment of distributions | 22 | 728 | — | — | ||||||||||||
Shares redeemed | (25,829 | ) | (846,294 | ) | — | (5 | ) | |||||||||
| 203,152 | 6,436,717 | 271 | 10,000 | |||||||||||||
NET INCREASE | 3,662,717 | $ | 109,055,084 | 1,423,046 | $ | 50,592,669 | ||||||||||
| (a) | Class B Shares were converted into Class A Shares at the close of business on November 14, 2014. |
| (b) | Commenced operations on July 31, 2015. |
109
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| Small Cap Value Insights Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 128,272 | $ | 4,710,758 | 134,243 | $ | 5,261,353 | ||||||||||
Reinvestment of distributions | 157,232 | 5,565,515 | 48,801 | 1,870,547 | ||||||||||||
Shares converted from Class B(a) | — | — | 154,047 | 6,012,436 | ||||||||||||
Shares redeemed | (366,024 | ) | (13,352,248 | ) | (380,194 | ) | (14,892,445 | ) | ||||||||
| (80,520 | ) | (3,075,975 | ) | (43,103 | ) | (1,748,109 | ) | |||||||||
| Class B Shares(a) | ||||||||||||||||
Shares converted to Class A | — | — | (223,262 | ) | (6,012,436 | ) | ||||||||||
Shares redeemed | — | — | (35,384 | ) | (953,437 | ) | ||||||||||
| — | — | (258,646 | ) | (6,965,873 | ) | |||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 32,823 | 927,337 | 19,470 | 593,064 | ||||||||||||
Reinvestment of distributions | 40,482 | 1,093,112 | 11,198 | 335,036 | ||||||||||||
Shares redeemed | (109,692 | ) | (3,073,143 | ) | (103,611 | ) | (3,148,417 | ) | ||||||||
| (36,387 | ) | (1,052,694 | ) | (72,943 | ) | (2,220,317 | ) | |||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 118,044 | 5,404,699 | 166,189 | 8,136,287 | ||||||||||||
Reinvestment of distributions | 22,329 | 1,000,594 | 5,823 | 278,565 | ||||||||||||
Shares redeemed | (138,007 | ) | (6,072,680 | ) | (63,746 | ) | (3,074,349 | ) | ||||||||
| 2,366 | 332,613 | 108,266 | 5,340,503 | |||||||||||||
| Class IR Shares | ||||||||||||||||
Shares sold | 22,772 | 832,806 | 23,922 | 941,810 | ||||||||||||
Reinvestment of distributions | 3,185 | 112,448 | 989 | 37,771 | ||||||||||||
Shares redeemed | (22,604 | ) | (837,149 | ) | (24,651 | ) | (957,187 | ) | ||||||||
| 3,353 | 108,105 | 260 | 22,394 | |||||||||||||
| Class R Shares | ||||||||||||||||
Shares sold | 69,972 | 2,539,899 | 133,943 | 5,296,609 | ||||||||||||
Reinvestment of distributions | 8,221 | 287,780 | 375 | 14,252 | ||||||||||||
Shares redeemed | (59,207 | ) | (2,141,070 | ) | (33,476 | ) | (1,287,248 | ) | ||||||||
| 18,986 | 686,609 | 100,842 | 4,023,613 | |||||||||||||
| Class R6 Shares(b) | ||||||||||||||||
Shares sold | 1 | 100 | 205 | 10,005 | ||||||||||||
Reinvestment of distributions | 12 | 516 | — | — | ||||||||||||
Shares redeemed | — | — | — | (5 | ) | |||||||||||
| 13 | 616 | 205 | 10,000 | |||||||||||||
NET DECREASE | (92,189 | ) | $ | (3,000,726 | ) | (165,119 | ) | $ | (1,537,789 | ) | ||||||
| (a) | Class B Shares were converted into Class A Shares at the close of business on November 14, 2014. |
| (b) | Commenced operations on July 31, 2015. |
110
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| U.S. Equity Insights Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 334,884 | $ | 13,048,404 | 489,069 | $ | 20,148,539 | ||||||||||
Reinvestment of distributions | 247,520 | 9,779,889 | 45,885 | 1,901,942 | ||||||||||||
Shares converted from Class B(a) | — | — | 75,598 | 3,085,169 | ||||||||||||
Shares redeemed | (990,904 | ) | (39,397,634 | ) | (887,276 | ) | (36,595,041 | ) | ||||||||
| (408,500 | ) | (16,569,341 | ) | (276,724 | ) | (11,459,391 | ) | |||||||||
| Class B Shares(a) | ||||||||||||||||
Shares converted to Class A | — | — | (80,912 | ) | (3,085,169 | ) | ||||||||||
Shares redeemed | — | — | (61,227 | ) | (2,334,656 | ) | ||||||||||
| — | — | (142,139 | ) | (5,419,825 | ) | |||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 85,315 | 3,069,965 | 183,157 | 6,931,701 | ||||||||||||
Reinvestment of distributions | 31,570 | 1,140,209 | 834 | 31,814 | ||||||||||||
Shares redeemed | (269,356 | ) | (9,743,746 | ) | (178,172 | ) | (6,731,425 | ) | ||||||||
| (152,471 | ) | (5,533,572 | ) | 5,819 | 232,090 | |||||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 2,086,459 | 84,883,909 | 2,051,350 | 84,969,389 | ||||||||||||
Reinvestment of distributions | 126,138 | 5,110,348 | 34,827 | 1,478,041 | ||||||||||||
Shares redeemed | (840,904 | ) | (34,146,671 | ) | (1,775,794 | ) | (74,669,520 | ) | ||||||||
| 1,371,693 | 55,847,586 | 310,383 | 11,777,910 | |||||||||||||
| Service Shares | ||||||||||||||||
Shares sold | 64,537 | 2,563,517 | 68,476 | 2,788,613 | ||||||||||||
Reinvestment of distributions | 2,888 | 113,703 | 85 | 3,524 | ||||||||||||
Shares redeemed | (13,458 | ) | (535,124 | ) | (15,949 | ) | (650,758 | ) | ||||||||
| 53,967 | 2,142,096 | 52,612 | 2,141,379 | |||||||||||||
| Class IR Shares | ||||||||||||||||
Shares sold | 447,815 | 18,126,255 | 217,171 | 8,858,924 | ||||||||||||
Reinvestment of distributions | 5,398 | 211,040 | 259 | 10,626 | ||||||||||||
Shares redeemed | (111,828 | ) | (4,472,094 | ) | (130,350 | ) | (5,389,955 | ) | ||||||||
| 341,385 | 13,865,201 | 87,080 | 3,479,595 | |||||||||||||
| Class R Shares | ||||||||||||||||
Shares sold | 300,867 | 11,680,907 | 821,845 | 34,109,333 | ||||||||||||
Reinvestment of distributions | 26,635 | 1,037,960 | 149 | 6,126 | ||||||||||||
Shares redeemed | (247,960 | ) | (9,521,591 | ) | (156,732 | ) | (6,388,751 | ) | ||||||||
| 79,542 | 3,197,276 | 665,262 | 27,726,708 | |||||||||||||
| Class R6 Shares(b) | ||||||||||||||||
Shares sold | 1,197 | 50,163 | 232 | 10,005 | ||||||||||||
Reinvestment of distributions | 10 | 409 | — | — | ||||||||||||
Shares redeemed | — | — | — | (5 | ) | |||||||||||
| 1,207 | 50,572 | 232 | 10,000 | |||||||||||||
NET INCREASE | 1,286,823 | $ | 52,999,818 | 702,525 | $ | 28,488,466 | ||||||||||
| (a) | Class B Shares were converted into Class A Shares at the close of business on November 14, 2014. |
| (b) | Commenced operations on July 31, 2015. |
111
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Goldman Sachs Trust and Shareholders of the Goldman Sachs Domestic Equity Insights Funds:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Goldman Sachs Large Cap Growth Insights Fund, Goldman Sachs Large Cap Value Insights Fund, Goldman Sachs Small Cap Equity Insights Fund, Goldman Sachs Small Cap Growth Insights Fund, Goldman Sachs Small Cap Value Insights Fund, and Goldman Sachs U.S. Equity Insights Fund (collectively the “Funds”), funds of the Goldman Sachs Trust, at October 31, 2016, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2016 by correspondence with the custodian, brokers, transfer agent of the underlying funds and the application of alternative auditing procedures where securities purchased confirmations had not been received, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
December 23, 2016
112
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Fund Expenses — Period Ended October 31, 2016 (Unaudited)
As a shareholder of Institutional Shares of the Funds, you incur two types of costs: (1) transaction costs, including sales charges on purchase payments, and (2) ongoing costs, including management fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from May 1, 2016 through October 31, 2016, which represents a period of 184 days in a 366 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Large Cap Growth Insights Fund | Large Cap Value Insights Fund | Small Cap Equity Insights Fund | Small Cap Growth Insights Fund | |||||||||||||||||||||||||||||||||||||||||||||
| Share Class | Beginning Account Value 5/1/16 | Ending Account Value 10/31/16 | Expenses Paid for the 6 months ended 10/31/16* | Beginning Account Value 5/1/16 | Ending Account Value 10/31/16 | Expenses Paid for the 6 months ended 10/31/16* | Beginning Account Value 5/1/16 | Ending Account Value 10/31/16 | Expenses Paid for the 6 months ended 10/31/16* | Beginning Account Value 5/1/16 | Ending Account Value 10/31/16 | Expenses Paid for the 6 months ended 10/31/16* | ||||||||||||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,036.70 | $ | 4.91 | $ | 1,000.00 | $ | 1,040.60 | $ | 4.92 | $ | 1,000.00 | $ | 1,056.80 | $ | 6.41 | $ | 1,000.00 | $ | 1,048.10 | $ | 6.44 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.31 | + | 4.88 | 1,000.00 | 1,020.31 | + | 4.88 | 1,000.00 | 1,018.90 | + | 6.29 | 1,000.00 | 1,018.85 | + | 6.34 | ||||||||||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,032.60 | 8.74 | 1,000.00 | 1,036.40 | 8.75 | 1,000.00 | 1,052.50 | 10.27 | 1,000.00 | 1,043.80 | 10.27 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,016.54 | + | 8.67 | 1,000.00 | 1,016.54 | + | 8.67 | 1,000.00 | 1,015.13 | + | 10.08 | 1,000.00 | 1,015.08 | + | 10.13 | ||||||||||||||||||||||||||||||||
| Institutional | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,039.10 | 2.87 | 1,000.00 | 1,042.10 | 2.87 | 1,000.00 | 1,058.40 | 4.35 | 1,000.00 | 1,050.00 | 4.38 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.32 | + | 2.85 | 1,000.00 | 1,022.32 | + | 2.85 | 1,000.00 | 1,020.91 | + | 4.27 | 1,000.00 | 1,020.86 | + | 4.32 | ||||||||||||||||||||||||||||||||
| Service | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,036.30 | 5.43 | 1,000.00 | 1,039.70 | 5.43 | 1,000.00 | 1,055.90 | 6.92 | N/A | N/A | — | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,019.81 | + | 5.38 | 1,000.00 | 1,019.81 | + | 5.38 | 1,000.00 | 1,018.40 | + | 6.80 | N/A | N/A | N/A | |||||||||||||||||||||||||||||||||
| Class IR | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,038.00 | 3.64 | 1,000.00 | 1,041.50 | 3.64 | 1,000.00 | 1,057.70 | 5.12 | 1,000.00 | 1,048.90 | 5.15 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,021.57 | + | 3.61 | 1,000.00 | 1,021.57 | + | 3.61 | 1,000.00 | 1,020.16 | + | 5.03 | 1,000.00 | 1,020.11 | + | 5.08 | ||||||||||||||||||||||||||||||||
| Class R | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,035.70 | 6.19 | 1,000.00 | 1,038.90 | 6.20 | 1,000.00 | 1,055.00 | 7.70 | 1,000.00 | 1,046.40 | 7.72 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,019.05 | + | 6.14 | 1,000.00 | 1,019.05 | + | 6.14 | 1,000.00 | 1,017.65 | + | 7.56 | 1,000.00 | 1,017.60 | + | 7.61 | ||||||||||||||||||||||||||||||||
| Class R6 | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,039.10 | 2.77 | 1,000.00 | 1,042.10 | 2.87 | 1,000.00 | 1,058.40 | 4.24 | 1,000.00 | 1,050.30 | 4.28 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.42 | + | 2.75 | 1,000.00 | 1,022.32 | + | 2.85 | 1,000.00 | 1,021.01 | + | 4.17 | 1,000.00 | 1,020.96 | + | 4.22 | ||||||||||||||||||||||||||||||||
113
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Fund Expenses — Period Ended October 31, 2016 (Unaudited) (continued)
| Small Cap Value Insights Fund | U.S. Equity Insights Fund | |||||||||||||||||||||||
| Share Class | Beginning Account Value 5/1/16 | Ending Account Value 10/31/16 | Expenses Paid for the 6 months ended 10/31/16* | Beginning Account Value 5/1/16 | Ending Account Value 10/31/16 | Expenses Paid for the 6 months ended 10/31/16* | ||||||||||||||||||
| Class A | ||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,069.10 | $ | 6.45 | $ | 1,000.00 | $ | 1,039.30 | $ | 4.92 | ||||||||||||
Hypothetical 5% return | 1,000.00 | 1,018.90 | + | 6.29 | 1,000.00 | 1,020.31 | + | 4.88 | ||||||||||||||||
| Class C | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,064.90 | 10.33 | 1,000.00 | 1,035.40 | 8.75 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,015.13 | + | 10.08 | 1,000.00 | 1,016.54 | + | 8.67 | ||||||||||||||||
| Institutional | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,071.20 | 4.37 | 1,000.00 | 1,041.20 | 2.87 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.91 | + | 4.27 | 1,000.00 | 1,022.32 | + | 2.85 | ||||||||||||||||
| Service | ||||||||||||||||||||||||
Actual | N/A | N/A | — | 1,000.00 | 1,038.60 | 5.43 | ||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | 1,000.00 | 1,019.81 | + | 5.38 | |||||||||||||||||
| Class IR | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,070.40 | 5.15 | 1,000.00 | 1,040.40 | 3.64 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.16 | + | 5.03 | 1,000.00 | 1,021.57 | + | 3.61 | ||||||||||||||||
| Class R | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,067.70 | 7.74 | 1,000.00 | 1,038.00 | 6.20 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,017.65 | + | 7.56 | 1,000.00 | 1,019.05 | + | 6.14 | ||||||||||||||||
| Class R6 | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,071.40 | 4.37 | 1,000.00 | 1,041.20 | 2.87 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.91 | + | 4.27 | 1,000.00 | 1,022.32 | + | 2.85 | ||||||||||||||||
| * | Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended October 31, 2016. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
| Fund | Class A | Class C | Institutional | Service | Class IR | Class R | Class R6 | |||||||||||||||||||||
Large Cap Growth Insights+ | 0.96 | % | 1.71 | % | 0.56 | % | 1.06 | % | 0.71 | % | 1.21 | % | 0.54 | % | ||||||||||||||
Large Cap Value Insights+ | 0.96 | 1.71 | 0.56 | 1.06 | 0.71 | 1.21 | 0.54 | |||||||||||||||||||||
Small Cap Equity Insights+ | 1.25 | 2.00 | 0.85 | 1.35 | 0.99 | 1.50 | 0.83 | |||||||||||||||||||||
Small Cap Growth Insights+ | 1.25 | 2.00 | 0.85 | N/A | 1.00 | 1.50 | 0.83 | |||||||||||||||||||||
Small Cap Value Insights+ | 1.24 | 1.99 | 0.84 | N/A | 0.99 | 1.49 | 0.84 | |||||||||||||||||||||
U.S. Equity Insights+ | 0.96 | 1.71 | 0.56 | 1.06 | 0.71 | 1.21 | 0.56 | |||||||||||||||||||||
| + | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
114
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Large Cap Growth Insights Fund, Goldman Sachs Large Cap Value Insights Fund, Goldman Sachs Small Cap Equity Insights Fund, Goldman Sachs Small Cap Growth Insights Fund, Goldman Sachs Small Cap Value Insights Fund, and Goldman Sachs U.S. Equity Insights Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds.
The Management Agreement was most recently approved for continuation until June 30, 2017 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 15-16, 2016 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to each Fund, such matters included:
| (a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
| (i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
| (ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
| (iii) | trends in employee headcount; |
| (iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
| (v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
| (b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), a benchmark performance index, and a composite of accounts with comparable investment strategies managed by the Investment Adviser (in the case of the Large Cap Growth Insights, Small Cap Equity Insights, and U.S. Equity Insights Funds); and general investment outlooks in the markets in which the Fund invests; |
| (c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
| (d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
| (e) | fee and expense information for the Fund, including: |
| (i) | the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
| (ii) | the Fund’s expense trends over time; and |
| (iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
| (f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
| (g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
| (h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates; |
115
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
| (i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
| (j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, securities lending, portfolio trading, distribution and other services; |
| (k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
| (l) | information regarding commissions paid by the Fund and broker oversight, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
| (m) | portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
| (n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
| (o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity, and payment of distribution, service, and shareholder administration fees, as applicable. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the regulatory and control environment in which the Funds and their service providers operate, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Funds. In this regard, they compared the investment performance of each Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2015, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2016. The information on each Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates, to the extent that each Fund had been in existence for those periods. The
116
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Trustees also reviewed each Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies and market conditions. The Trustees also received information comparing the Large Cap Growth Insights, Small Cap Equity Insights, and U.S. Equity Insights Funds’ performance to that of composites of accounts with comparable investment strategies managed by the Investment Adviser.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management. They noted the efforts of the Funds’ portfolio management team to continue to enhance the investment models used in managing the Funds.
The Trustees noted that the Large Cap Growth Insights Fund’s Institutional Shares had placed in the first quartile of the Fund’s peer group for the one-, three-, and five-year periods and in the third quartile for the ten-year period, and had outperformed the Fund’s benchmark index for the three- and five-year periods and underperformed for the one- and ten-year periods ended March 31, 2016. They observed that the Large Cap Value Insights Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one-, three-, and five-year periods and in the third quartile for the ten-year period, and had outperformed the Fund’s benchmark index for the three- and five-year periods and underperformed for the one- and ten-year periods ended March 31, 2016. They noted that the Small Cap Equity Insights Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one-, three-, and five-year periods and in the fourth quartile for the ten-year period, and had outperformed the Fund’s benchmark index for the one-, three-, and five-year periods and underperformed for the ten-year period ended March 31, 2016. The Trustees observed that the Small Cap Growth Insights Fund’s Institutional Shares had placed in the top half of the Fund’s peer group and had outperformed the Fund’s benchmark index for the one-, three, and five-year periods ended March 31, 2016. They noted that the Small Cap Value Insights Fund’s Institutional Shares had placed in the second quartile of the Fund’s peer group and had outperformed the Fund’s benchmark index for the one-, three-, and five-year periods ended March 31, 2016. They observed that the U.S. Equity Insights Fund’s Institutional Shares had placed in the first quartile of the Fund’s peer group for the three- and five- periods and in the third quartile for the one- and ten-year periods, and had outperformed the Fund’s benchmark index for the five-year period and underperformed for the one-, three-, and ten-year periods ended March 31, 2016. The Trustees also noted that the Funds had experienced certain portfolio management changes in the first quarter of 2016.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by each Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of each Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s transfer agency, custody, and distribution fees, other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. The Trustees also noted that certain changes were being made to existing fee waiver or expense limitation arrangements of the Small Cap Growth Insights Fund that would have the effect of decreasing total Fund expenses, with such changes taking effect in connection with the Fund’s/ next annual registration statement update. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
117
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Profitability
The Trustees reviewed the Investment Adviser’s revenues and pre-tax profit margins with respect to the Trust and each of the Funds. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization had audited the expense allocation methodology and was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology and profitability analysis calculations. Profitability data for the Trust and each Fund were provided for 2015 and 2014, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.
Economies of Scale
The Trustees considered the information that had been provided regarding the Investment Adviser’s profitability. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:
| Average Daily Net Assets | Large Cap Growth Insights Fund | Large Cap Value Insights Fund | Small Cap Equity Insights Fund | Small Cap Growth Insights Fund | Small Cap Value Insights Fund | U.S. Equity Insights Fund | ||||||||||||||||||
| First $1 billion | 0.65 | % | 0.60 | % | 0.85 | % | 0.85 | % | 0.85 | % | 0.65 | % | ||||||||||||
| Next $1 billion | 0.59 | 0.54 | 0.85 | 0.85 | 0.85 | 0.59 | ||||||||||||||||||
| Next $3 billion | 0.56 | 0.51 | 0.77 | 0.77 | 0.77 | 0.56 | ||||||||||||||||||
| Next $3 billion | 0.55 | 0.50 | 0.73 | 0.73 | 0.73 | 0.55 | ||||||||||||||||||
| Over $8 billion | 0.54 | 0.49 | 0.72 | 0.72 | 0.72 | 0.54 | ||||||||||||||||||
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertakings to waive a portion of its management fee and to limit certain expenses of the Funds that exceed specified levels. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds as stated above, including: (a) transfer agency fees received by Goldman, Sachs & Co. (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Funds; (c) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (d) fees earned by Goldman Sachs Agency Lending (“GSAL”), an affiliate of the Investment Adviser, as securities lending agent (and fees earned by the Investment Adviser for managing the fund in which the Funds’ cash collateral is invested); (e) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (f) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (g) Goldman Sachs’ retention of certain fees as Fund Distributor; (h) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; and (i) the possibility that the working relationship between the Investment Adviser and the Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
118
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Other Benefits to the Funds and Their Shareholders
The Trustees also noted that the Funds receive certain potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors because of the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers because of the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Funds as a result of the size and reputation of the Goldman Sachs organization; (e) the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization; (g) the Funds’ access, through the Investment Adviser, to certain firmwide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; (h) the Funds’ ability to participate in the securities lending program administered by GSAL, as measured by the revenue received by the Funds in connection with the program; and (i) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Management Agreement should be approved and continued with respect to each Fund until June 30, 2017.
119
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Trustees and Officers (Unaudited)
Independent Trustees
Name, | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Ashok N. Bakhru Age: 74 | Chairman of the Board of Trustees | Since 1996 (Trustee since 1991) | Mr. Bakhru is retired. He was formerly Director, Apollo Investment Corporation (a business development company) (2008-2013); President, ABN Associates (a management and financial consulting firm) (1994-1996 and 1998-2012); Trustee, Scholarship America (1998-2005); Trustee, Institute for Higher Education Policy (2003-2008); Director, Private Equity Investors — III and IV (1998-2007), and Equity-Linked Investors II (April 2002-2007).
Chairman of the Board of Trustees — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | 142 | None | |||||
Kathryn A. Cassidy Age: 62 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Diana M. Daniels Age: 67 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Herbert J. Markley Age: 66 | Trustee | Since 2013 | Mr. Markley is retired. Formerly, he was Executive Vice President, Deere & Company (an agricultural and construction equipment manufacturer) (2007-2009); and President, Agricultural Division, Deere & Company (2001-2007). Previously, Mr. Markley served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Jessica Palmer Age: 67 | Trustee | Since 2007 | Ms. Palmer is retired. She is Director, Emerson Center for the Arts and Culture (2011-Present); and was formerly a Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
120
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Trustees and Officers (Unaudited) (continued)
Independent Trustees
Name, | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Roy W. Templin Age: 56 | Trustee | Since 2013 | Mr. Templin is retired. He recently served as Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); and was formerly Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Gregory G. Weaver Age: 65 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | Verizon Communications Inc. | |||||
121
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Trustees and Officers (Unaudited) (continued)
Interested Trustees*
Name, | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
James A. McNamara Age: 54 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993- April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | 140 | None | |||||
Alan A. Shuch Age: 66 | Trustee | Since 1990 | Advisory Director — GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994-May 1999).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
| * | These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
| 1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of October 31, 2016. |
| 2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board of Trustees or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted polices which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirement shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. One Trustee has been granted a waiver from the foregoing policies which permits him to serve until December 31, 2017. |
| 3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of October 31, 2016, Goldman Sachs Trust consisted of 92 portfolios (91 of which offered shares to the public); Goldman Sachs Variable Insurance Trust consisted of 14 portfolios; Goldman Sachs Trust II consisted of 17 portfolios (15 of which offered shares to the public); Goldman Sachs BDC, Inc., Goldman Sachs Private Middle Market Credit LLC, Goldman Sachs MLP Income Opportunities Fund, and Goldman Sachs MLP and Energy Renaissance Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 15 portfolios (eight of which offered shares to the public). Goldman Sachs Private Middle Market Credit LLC does not offer shares to the public. |
| 4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
122
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 54 | Trustee and President | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 39 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Middle Market Lending LLC; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
Scott M. McHugh 200 West Street New York, NY 10282 Age: 45 | Treasurer, Senior Vice President and Principal Financial Officer | Since 2009 (Principal Financial Officer since 2013) | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (February 2007-December 2015); Assistant Treasurer of certain mutual funds administered by DWS Scudder (2005-2007); and Director (2005-2007), Vice President (2000-2005), and Assistant Vice President (1998-2000), Deutsche Asset Management or its predecessor (1998-2007).
Treasurer, Senior Vice President and Principal Financial Officer — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
| 1 | Information is provided as of October 31, 2016. |
| 2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
123
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Goldman Sachs Trust — Domestic Equity Insights Funds — Tax Information (Unaudited)
For the year ended October 31, 2016, 100%, 100%, 100%, 18.08%, 90.81% and 95.93% of the dividends paid from net investment company taxable income by the Large Cap Growth Insights, Large Cap Value Insights, Small Cap Equity Insights, Small Cap Growth Insights, Small Cap Value Insights, and U.S. Equity Insights Funds, respectively, qualify for the dividends received deduction available to corporations.
For the year ended October 31, 2016, 100%, 100%, 100%, 17.28%, 86.93% and 100% of the dividends paid from net investment company taxable income by the Large Cap Growth Insights, Large Cap Value Insights, Small Cap Equity Insights, Small Cap Growth Insights, Small Cap Value Insights, and U.S. Equity Insights Funds, respectively, qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
Pursuant to Section 852 of the Internal Revenue Code, the Small Cap Growth Insights, Small Cap Value Insights and U.S. Equity Insights Funds designate $7,363,769, $6,529,301 and $13,484,645, respectively, or if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended October 31, 2016.
During the fiscal year ended October, 2016, the Small Cap Growth Insights and Small Cap Value Insights Funds designate $3,213,933 and $868,793, respectively, as short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.
124
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.15 trillion in assets under supervision as of September 30, 2016, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman, Sachs & Co. subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| n | Financial Square Treasury Solutions Fund1 |
| n | Financial Square Government Fund1 |
| n | Financial Square Money Market Fund2 |
| n | Financial Square Prime Obligations Fund2 |
| n | Financial Square Treasury Instruments Fund1 |
| n | Financial Square Treasury Obligations Fund1 |
| n | Financial Square Federal Instruments Fund1 |
| n | Financial Square Tax-Exempt Money Market Fund2 |
Investor FundsSM
| n | Investor Money Market Fund3 |
| n | Investor Tax-Exempt Money Market Fund3,4 |
Fixed Income
Short Duration and Government
| n | Enhanced Income Fund |
| n | High Quality Floating Rate Fund |
| n | Short-Term Conservative Income Fund5 |
| n | Short Duration Government Fund |
| n | Short Duration Income Fund |
| n | Government Income Fund |
| n | Inflation Protected Securities Fund |
Multi-Sector
| n | Bond Fund |
| n | Core Fixed Income Fund |
| n | Global Income Fund Strategic Income Fund |
Municipal and Tax-Free
| n | High Yield Municipal Fund |
| n | Dynamic Municipal Income Fund |
| n | Short Duration Tax-Free Fund |
Single Sector
| n | Investment Grade Credit Fund |
| n | U.S. Mortgages Fund |
| n | High Yield Fund |
| n | High Yield Floating Rate Fund |
| n | Emerging Markets Debt Fund |
| n | Local Emerging Markets Debt Fund |
| n | Dynamic Emerging Markets Debt Fund |
Fixed Income Alternatives
| n | Long Short Credit Strategies Fund |
| n | Fixed Income Macro Strategies Fund |
Fundamental Equity
| n | Growth and Income Fund |
| n | Small Cap Value Fund |
| n | Small/Mid Cap Value Fund |
| n | Mid Cap Value Fund |
| n | Large Cap Value Fund |
| n | Focused Value Fund |
| n | Capital Growth Fund |
| n | Strategic Growth Fund |
| n | Focused Growth Fund |
| n | Small/Mid Cap Growth Fund |
| n | Flexible Cap Growth Fund |
| n | Concentrated Growth Fund |
| n | Technology Opportunities Fund |
| n | Growth Opportunities Fund |
| n | Rising Dividend Growth Fund |
| n | Dynamic U.S. Equity Fund |
| n | Income Builder Fund |
Tax-Advantaged Equity
| n | U.S. Tax-Managed Equity Fund |
| n | International Tax-Managed Equity Fund |
| n | U.S. Equity Dividend and Premium Fund |
| n | International Equity Dividend and Premium Fund |
Equity Insights
| n | Small Cap Equity Insights Fund |
| n | U.S. Equity Insights Fund |
| n | Small Cap Growth Insights Fund |
| n | Large Cap Growth Insights Fund |
| n | Large Cap Value Insights Fund |
| n | Small Cap Value Insights Fund |
| n | International Small Cap Insights Fund6 |
| n | International Equity Insights Fund |
| n | Emerging Markets Equity Insights Fund |
Fundamental Equity International
| n | Strategic International Equity Fund |
| n | Focused International Equity Fund |
| n | Asia Equity Fund |
| n | Emerging Markets Equity Fund |
| n | N-11 Equity Fund |
Select Satellite
| n | Real Estate Securities Fund |
| n | International Real Estate Securities Fund |
| n | Commodity Strategy Fund |
| n | Global Real Estate Securities Fund |
| n | Dynamic Commodity Strategy Fund |
| n | Dynamic Allocation Fund |
| n | Absolute Return Tracker Fund |
| n | Long Short Fund |
| n | Managed Futures Strategy Fund |
| n | MLP Energy Infrastructure Fund |
| n | Multi-Manager Alternatives Fund |
| n | Multi-Asset Real Return Fund |
| n | Absolute Return Multi-Asset Fund |
| n | Global Infrastructure Fund |
Total Portfolio Solutions
| n | Global Managed Beta Fund |
| n | Multi-Manager Non-Core Fixed Income Fund |
| n | Multi-Manager U.S. Dynamic Equity Fund |
| n | Multi-Manager Global Equity Fund |
| n | Multi-Manager International Equity Fund |
| n | Tactical Tilt Overlay Fund7 |
| n | Balanced Strategy Portfolio |
| n | Multi-Manager U.S. Small Cap Equity Fund |
| n | Multi-Manager Real Assets Strategy Fund |
| n | Growth and Income Strategy Portfolio |
| n | Growth Strategy Portfolio |
| n | Equity Growth Strategy Portfolio |
| n | Satellite Strategies Portfolio |
| n | Enhanced Dividend Global Equity Portfolio |
| n | Tax-Advantaged Global Equity Portfolio |
| n | Strategic Factor Allocation Fund |
| n | Target Date 2020 Portfolio |
| n | Target Date 2025 Portfolio |
| n | Target Date 2030 Portfolio |
| n | Target Date 2035 Portfolio |
| n | Target Date 2040 Portfolio |
| n | Target Date 2045 Portfolio |
| n | Target Date 2050 Portfolio |
| n | Target Date 2055 Portfolio |
| n | GQG Partners International Opportunities Fund |
| 1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | Effective on March 31, 2016, the Goldman Sachs Financial Square Tax-Free Money Market Fund was renamed the Goldman Sachs Investor Tax-Exempt Money Market Fund. |
| 5 | Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund. |
| 6 | Effective at the close of business on February 5, 2016, the Goldman Sachs International Small Cap Fund was reorganized with and into the Goldman Sachs International Small Cap Insights Fund. |
| 7 | Effective on June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman, Sachs & Co.
| *This | list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
TRUSTEES Ashok N. Bakhru, Chairman Kathryn A. Cassidy Diana M. Daniels Herbert J. Markley James A. McNamara Jessica Palmer Alan A. Shuch Roy W. Templin Gregory G. Weaver | OFFICERS James A. McNamara, President Scott M. McHugh, Principal Financial Officer, Senior Vice President and Treasurer Caroline L. Kraus, Secretary | |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser | |
Visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s web site at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Fund holdings and allocations shown are as of October 31, 2016 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2016 Goldman Sachs. All rights reserved. 74922-TMPL-12/2016 DOMINSAR-16/55.2k
Goldman Sachs Funds
| Annual Report | October 31, 2016 | |||
Fundamental Emerging Markets Equity Funds | ||||
Asia Equity | ||||
Emerging Markets Equity | ||||
N-11 Equity | ||||
Goldman Sachs Fundamental Emerging Markets Equity Funds
| n | ASIA EQUITY |
| n | EMERGING MARKETS EQUITY |
| n | N-11 EQUITY |
TABLE OF CONTENTS |
| |||
Investment Process | 1 | |||
Market Review | 2 | |||
Portfolio Management Discussions and Performance Summaries | 5 | |||
Schedules of Investments | 25 | |||
Financial Statements | 34 | |||
Financial Highlights | 38 | |||
Notes to Financial Statements | 44 | |||
Report of Independent Registered Public Accounting Firm | 58 | |||
Other Information | 59 | |||
| NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
What Differentiates Goldman Sachs’ Fundamental Emerging Markets Equity Investment Process?
Goldman Sachs’ Fundamental Emerging Markets Equity investment process is based on the belief that strong, consistent results are best achieved through expert stock selection, performed by our dedicated Emerging Markets Team that works together on a global scale. Our deep, diverse and experienced team of research analysts and portfolio managers combines local insights with global, industry-specific expertise to seek to identify its best investment ideas.
| n | The Emerging Markets Equity research team, based in the United States, United Kingdom, Japan, China, Korea, Singapore, Brazil, India and Australia, focuses on long- term business and management quality |
| n | Proprietary, bottom-up research is the key driver of our investment process |
| n | Analysts collaborate regularly to leverage regional and industry-specific research and insights |
| n | Members of each local investment team are aligned by sector and are responsible for finding ideas with the best risk-adjusted upside in their respective areas of coverage |
| n | The decision-making process includes active participation in frequent and regular research meetings |
| n | The Emerging Market Equity team benefits from the country and currency expertise of our Global Emerging Markets Debt and Currency teams |
| n | Security selections are aligned with levels of investment conviction and risk-adjusted upside |
| n | Continual risk monitoring identifies various risks at the stock and portfolio level and assesses whether they are intended and justified |
| n | Dedicated portfolio construction team assists in ongoing monitoring and adjustment of the Funds |
Emerging markets equity portfolios that strive to offer:
| n | Access to markets across emerging markets |
| n | Disciplined approach to stock selection |
| n | Optimal risk/return profiles |
1
MARKET REVIEW
Goldman Sachs Fundamental Emerging
Markets Equity Funds
Market Review
Emerging markets equities rallied during the 12-month period ended October 31, 2016 (the “Reporting Period”). The MSCI® Emerging Markets Index (Net, USD, Unhedged) (the “MSCI® EM Index”) posted a return of 9.24%.* Emerging markets equities significantly outpaced developed markets equities, as measured by the MSCI® Europe, Australasia, Far East (EAFE) Index, which returned -3.22% for the same time period.
There was broad emerging market “risk off” sentiment in November 2015, as the Reporting Period began, on a combination of Federal Reserve (“Fed”) interest rate hike concerns and disappointing macroeconomic data and negative news flow from China. When the Fed finally raised U.S. interest rates by 25 basis points in December 2015, the fairly dovish language in its statement, which emphasized “gradual” future adjustments to policy, helped to somewhat assuage market sentiment. (A basis point is 1/100th of a percentage point. Dovish language tends to suggest lower interest rates; opposite of hawkish.)
Emerging market equities suffered a rout at the beginning of 2016, triggered by investor concerns of an intensifying economic slowdown in China and exacerbated by an oil price plunge. Market sentiment improved in February 2016, and emerging market equities stabilized as global central banks set a more accommodative tone. For example, the Bank of Japan (“BoJ”) introduced negative interest rates in late January 2016 and the People’s Bank of China eased its monetary policy, while the Fed released dovish remarks in February 2016. In March 2016, further central bank dovishness, along with receding global economic concerns and a commodity price rebound, helped to drive a strong recovery in emerging markets equities. Notably, the European Central Bank implemented heavy easing, cutting its deposit rate to -40 basis points and raising its monthly quantitative easing purchases. The BoJ left its monetary policy unchanged in March 2016, but its rhetoric about negative interest rates heightened expectations for further easing to come.
Market sentiment appeared to remain sanguine in April 2016, as oil prices rose and China economic growth concerns abated with modestly improving economic data. The Fed left rates unchanged but expressed less concern about market volatility and global economic growth, opening up the possibility of a June 2016 rate hike. However, global sentiment moderated near the end of April 2016, as the BoJ disappointed markets by not implementing additional monetary stimulus. Emerging market equities declined in May 2016, as they were affected by hawkish Fed minutes that resulted in U.S. dollar strength against emerging market currencies. Moreover, disappointing April 2016 economic data from China, which indicated a slowdown in both consumption and industrial activity, fueled investor concerns of an economic slowdown within the emerging markets more broadly. Markets around the world were dominated in June 2016 by the U.K.’s referendum decision to leave the European Union, popularly known as Brexit. Emerging market equities shrugged off the initial risk-off response and rebounded quickly, outperforming developed market equities.
In July 2016, emerging market equities were buoyed by rebounding risk appetite and expectations of easier monetary policy following Brexit. Moreover, China’s economic data indicated improving momentum. Emerging market equities continued their ascent in August 2016, as China performed better than consensus expectations on a robust earnings season and on encouraging consumption and industrial data. While investor concerns about an impending U.S. interest rate hike intensified after a strong July 2016 U.S. jobs report and Fed Chair Janet Yellen’s hawkish speech at Jackson Hole, there was limited impact on sentiment toward
| *All | index returns are expressed in U.S. dollar terms. |
2
MARKET REVIEW
emerging market equities, which rallied further. In September 2016, emerging market equities maintained their uptrend, as the Fed left interest rates unchanged amidst much anticipation, citing concerns over low inflation. In October 2016, despite the headwinds from a stronger U.S. dollar that resulted from hawkish Fed commentary and strong U.S. economic data, emerging market equities outperformed their developed market counterparts, led by Latin America.
Energy, materials and information technology were the best performing sectors in the MSCI® EM Index during the Reporting Period. Health care, industrials and telecommunication services were the weakest sectors in the MSCI® EM Index during the Reporting Period, the only three sectors in the MSCI® EM Index to post negative returns during the Reporting Period.
From a country perspective, Brazil, Hungary, Indonesia and Peru were by a wide margin the best performing individual country constituents of the MSCI® EM Index for the Reporting Period. Conversely, Greece was by far the weakest individual country constituent of the MSCI® EM Index during the Reporting Period, followed at some distance by Poland, Qatar, Turkey, the Czech Republic and Mexico, which also significantly lagged the MSCI® EM Index during the Reporting Period.
Looking Ahead
At the end of the Reporting Period, we believed global equities may still generate positive low to mid-single digit returns for calendar year 2016, as, in our view, they remain attractive compared to other asset classes offering lower or even negative returns.
Central banks appear to be realizing the limits of monetary policy, and attention is increasingly turning toward potential further fiscal expansion to stimulate economic growth. A potential transition from monetary to fiscal stimulus would likely be gradual, and we believe the environment of low interest rates, low economic growth and low returns may continue for some time. In that context, we believe equities still yield the best potential return prospects. Moreover, a backdrop of fiscal expansion should be positive for equities if it succeeds in stimulating economic growth, in our view. We also believe equities are better positioned than fixed income investments given increased risks of inflation, as seen potentially in virtually all forms of real assets, including infrastructure, real estate, timber, commodities and materials.
In our view, the outlook for emerging market equities is more encouraging than for many developed market equity markets. Emerging market equities have cumulatively underperformed developed market equities over the last five year, as investors fretted about issues ranging from China’s slowing industrial economy and frothy real estate markets to the potential impacts of plunging oil and commodity prices and rising U.S. interest rates. Since the beginning of 2016, we have believed that many of these risks were priced into emerging market equities. In our view, valuations on emerging market equities were undemanding, or inexpensive, while their growth premium was stabilizing. It appears to us that the outperformance of emerging market equities over developed market equities of the last several months of the Reporting Period coincided with some measurable signs of improvement in these factors. Emerging market equities have clearly responded positively to better Chinese economic data and a commodities rebound.
The rally in emerging market equities has been largely led by commodity-related stocks but, in our view, may broaden should earnings growth spread to other sectors, such as banks, which
3
MARKET REVIEW
were negatively affected by relatively high commodity exposure and other credit risks. Should commodity prices continue to recover, so should banks’ balance sheets, enabling them to increase lending to businesses across many industries as well as to consumers. At the end of the Reporting Period, we believed future earnings growth potential in the emerging markets already looked compelling compared to that in the developed markets.
We also continue to believe increasing consumption may be a significant long-term tailwind for emerging market equities, despite the weak backdrop for consumers in many emerging market countries seen during the Reporting Period. While current conditions and trends vary greatly between regions, we were observing some areas of improvement.
We also believe net inflows to emerging market equities may continue to support stock prices. In our view, investors are taking notice of improving fundamentals in the emerging markets and re-focusing on the higher alpha, or value, generation potential in the asset class.
As always, we maintain our focus on seeking high-quality equity investments trading at compelling valuations and intend to stay true to our long-term discipline as we seek to navigate potentially volatile markets ahead.
4
PORTFOLIO RESULTS
Goldman Sachs Asia Equity Fund
Investment Objective
The Fund seeks long-term capital appreciation.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Fundamental Asia ex Japan Equity Portfolio Management Team discusses the Goldman Sachs Asia Equity Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2016 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional and IR Shares generated average annual total returns, without sales charges, of 3.93%, 3.18%, 4.31% and 4.18%, respectively. These returns compare to the 6.57% average annual total return of the Fund’s benchmark, the MSCI® All Country Asia ex-Japan Index (Net, USD, Unhedged) (the “Index”), during the same time period. |
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | The Fund posted solid positive absolute returns but underperformed the Index on a relative basis during the Reporting Period, primarily attributable to individual stock selection. From a country perspective, stock selection in South Korea and the Philippines and having an overweighted allocation to Vietnam detracted from the Fund’s relative results most during the Reporting Period. Stock selection in China/Hong Kong, India, Indonesia and Taiwan contributed most positively. |
| Q | Which stocks detracted significantly from the Fund’s performance during the Reporting Period? |
| A | Detracting most from the Fund’s results relative to the Index were positions in Hotel Shilla, Osstem Implant and Shinsegae. |
| Hotel Shilla operates hotels in South Korea’s capital Seoul as well as in popular tourist destination Jeju Island. It is also one of the nation’s top two duty-free shop operators. Its duty-free business depends critically on Chinese travelers. As geopolitical tensions between China and South Korea escalated on Terminal High Altitude Area Defense (“THAAD”) system deployment, territorial disputes and cultural influence, Chinese authorities officially pushed parties to limit travelers going to South Korea and unofficially limited the amount of shopping allowed in duty-free stores. (THAAD is designed to shoot down short, medium and intermediate ballistic missiles.) Further, promotional activities by Hotel Shilla surprised us both in length and in magnitude, as competitive pressure from newcomers was more intense than we expected. |
| Shares of Osstem Implant, a South Korean dental implant system manufacturer, performed weakly after the company reported below consensus second quarter 2016 earnings expectations, with both sales and operating profits missing estimates. Its sales were impacted primarily by a delay in the renewal of one of its Chinese subsidiary sales licenses. |
| Shinsegae, a new purchase for the Fund during the Reporting Period, is a South Korea-based department store franchise that retails food, clothing, household goods, electronics and other items through several branch stores. Its stock underperformed the Index during the Reporting Period. While its department store business segment reported results in line for most of the Reporting Period, its new business, a duty-free store opened in May 2016, experienced losses because of aggressive couponing and discounts. Chinese local bureaus reportedly issued an enforcement ordinance that is supposed to regulate local travel agencies to keep the numbers of travelers at 80% of the level seen in 2015. This has created negative investor sentiment toward South Korean companies, including Shinsegae, with any exposure to China. |
| Q | What were some of the Fund’s best-performing individual stocks? |
| A | The Fund benefited most relative to the Index from holdings in Minth Group, Telekomunikasi and Chunghwa Precision Test Tech. |
5
PORTFOLIO RESULTS
| Minth, a new purchase for the Fund during the Reporting Period, is China’s leading supplier of decorative trim and car body structural parts. It has plants in the U.S., Europe and Asia. During the Reporting Period, we saw improvement in its margins after six years of contraction, with such better results driven largely by product mix improvement, a turnaround in its U.S. plant, new order wins from premium European brands, and expansion into the advanced driver assistance system business through a joint venture with Fujitsu. We expect the company to achieve solid overseas expansion in North America and Europe going forward given strong support from well-established partners, relationships with global brands and what we view as a healthy balance sheet. |
| Telekomunikasi is the largest telecommunications services company in Indonesia. Conditions were favorable for the telecommunications sector in Indonesia during the Reporting Period, with consumer growth continuing due to a lack of competition and regulatory pressures. Also, Indonesia still has very low penetration in third and fourth generation services. Smartphone penetration in Indonesia stands at only approximately 45%, and at the end of the Reporting Period, we believed that as smartphone usage increases, Telekomunikasi is poised to be a beneficiary. |
| Chunghwa Precision Test Tech manufactures printed circuit boards in Taiwan. During the Reporting Period, the company reported strong revenue growth along with better demand for its products. At the end of the Reporting Period, we expected demand growth to remain strong going forward, driven by faster technology migration. (Technology migration occurs when changes require an organization or company to switch to a different technology. This happens when it has outgrown its current systems or needs capabilities they can’t deliver.) |
| Q | Which equity market sectors most significantly affected Fund performance during the Reporting Period? |
| A | The sectors that detracted most from the Fund’s relative results during the Reporting Period were materials and health care, each driven primarily by weak stock selection. Having an overweight to the consumer discretionary sector, which lagged the Index during the Reporting Period, also hurt. At an individual stock level, the Fund’s positions in Kumho Petrochem, Osstem Implant and Hotel Shilla, the latter two of which were mentioned earlier, disappointed most in each sector respectively. |
| The sectors that contributed most positively to the Fund’s performance relative to the Index were industrials, consumer staples and telecommunication services, where stock selection in each boosted relative results. At an individual stock level, the Fund’s positions in Airports of Thailand, Kweichow Moutai and Telekomunikasi, the last of which was mentioned earlier, were the strongest positive contributors in each sector respectively. |
| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | During the Reporting Period, the Fund gained exposure to select stocks through participatory notes. The use of these derivatives did not have a material impact on Fund results during the Reporting Period. |
| Q | Did the Fund make any significant purchases or sales during the Reporting Period? |
| A | In addition to the purchases already mentioned, we initiated a Fund position in Korean Air Lines. The company operates passenger and cargo transportation, aircraft maintenance and air catering. Its stock performed well since the date of Fund purchase on robust air travel demand and only mild competitive pressures. The potential risk of the company being forced to participate in the bailout plan of its subsidiary Hanjin Shipping also appeared to have abated with its Board approving collateralized loans to the subsidiary that were lower than expected by creditors. |
| Conversely, we exited the Fund’s position in Sino Biopharmaceutical in the Chinese health care sector. Sino Biopharmaceutical is an out-of-Index holding that is primarily engaged in the research and development, manufacturing and sales of a series of generic chemical drugs and is a market leader in drugs for hepatitis and cardio- cerebral diseases. Sino Biopharmaceutical experienced a slowdown in sales during the fourth quarter of 2015 to reduce inventory in the distribution channel. As such, we believe this heightened the risk of price-cutting pressures in its 2016 drug offerings. As a result, we sold the Fund’s position in the company. |
| Within the telecommunication services sector in China, we eliminated the Fund’s position in China Mobile, a company that operates as an investment holding company and, through its subsidiaries, offers mobile services using the global system for mobile communications (“GSM”) standard. China’s government is planning to issue new operation licenses to the China Broadcasting Network Company, which triggered concerns regarding competition. Further, China |
6
PORTFOLIO RESULTS
| Mobile showed slow growth of its fourth generation subscribers during the first quarter of 2016, increasing concerns about market share loss. The company did outperform the Index due to its defensive nature. However, given our view that we might see future share price pressures should China Mobile start to lose market share, we decided to sell the Fund’s position in the company. |
| Q | Were there any notable changes in the Fund’s weightings during the Reporting Period? |
| A | Most sector weights are usually established within a relatively narrow range from the Index, as our team prefers to make decisions at the individual stock level, where we believe we can generate more added value. That said, during the Reporting Period, the Fund’s exposure to financials increased, and its allocation to consumer staples decreased. |
| Similarly, allocations to countries are directly the result of various stock selection decisions. During the Reporting Period, the Fund’s allocations to India and Vietnam increased, and its exposure to China/Hong Kong and Indonesia decreased. |
| Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | There were no material changes to the Fund’s portfolio management team during the Reporting Period. |
| Q | How was the Fund positioned relative to the Index at the end of the Reporting Period? |
| A | At the end of the Reporting Period, the Fund had overweighted exposure to India compared to the Index and held an out-of-Index allocation to Vietnam. On the same date, the Fund had underweighted exposure relative to the Index to Taiwan, Singapore, Malaysia and China/Hong Kong and had rather neutral exposure relative to the Index in South Korea, Thailand, Indonesia and the Philippines. |
| From a sector allocation perspective, the Fund had overweighted positions relative to the Index in the consumer discretionary, health care, consumer staples and materials sectors at the end of the Reporting Period. On the same date, the Fund had underweighted positions compared to the Index in the information technology, telecommunication services, real estate and energy sectors and was relatively neutrally weighted compared to the Index in financials and industrials. The Fund had no exposure to the utilities sector at the end of the Reporting Period. |
| As always, we remained focused on individual stock selection, with sector and country positioning being a secondary, closely-monitored effect. |
7
FUND BASICS
Asia Equity Fund
as of October 31, 2016
| PERFORMANCE REVIEW | ||||||||||
| November 1, 2015–October 31, 2016 | Fund Total Return (based on NAV)1 | MSCI® (All Country) Asia ex-Japan Index2 | ||||||||
| Class A | 3.93 | % | 6.57 | % | ||||||
| Class C | 3.18 | 6.57 | ||||||||
| Institutional | 4.31 | 6.57 | ||||||||
| Class IR | 4.18 | 6.57 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The MSCI® All Country Asia ex-Japan Index (Net, USD, Unhedged) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of Asia, excluding Japan. As of September 30, 2016, the MSCI All Country Asia ex-Japan Index consisted of the following 10 developed and emerging market country indices: China, Hong Kong, India, Indonesia, Korea, Malaysia, Philippines, Singapore, Taiwan, and Thailand. The series of returns reflected by the MSCI All Country Asia ex-Japan Index approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction of withholding tax, applying the rate to nonresident individuals who do not benefit from double taxation treaties. MSCI Barra uses withholding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates. It is not possible to invest directly in an index. |
| STANDARDIZED TOTAL RETURNS3 | ||||||||||||||||||||
| For the period ended 9/30/16 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
| Class A | 8.02 | % | 6.03 | % | 3.64 | % | 2.44 | % | 7/8/94 | |||||||||||
| Class C | 12.43 | 6.45 | 3.43 | 1.70 | 8/15/97 | |||||||||||||||
| Institutional | 14.68 | 7.67 | 4.65 | 2.53 | 2/2/96 | |||||||||||||||
| Class IR | 14.56 | N/A | N/A | 3.96 | 2/28/14 | |||||||||||||||
| 3 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
8
FUND BASICS
| EXPENSE RATIOS4 | ||||||||||
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Class A | 1.55 | % | 1.99 | % | ||||||
| Class C | 2.30 | 2.76 | ||||||||
| Institutional | 1.15 | 1.61 | ||||||||
| Class IR | 1.30 | 1.75 | ||||||||
| 4 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least February 26, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
| TOP TEN HOLDINGS AS OF 10/31/165 | ||||||||||
| Holding | % of Net Assets | Line of Business | Country | |||||||
| Tencent Holdings Ltd. | 5.9 | % | Software & Services | China | ||||||
| Samsung Electronics Co. Ltd. | 5.3 | Technology Hardware & Equipment | South Korea | |||||||
| AIA Group Ltd. | 4.5 | Insurance | Hong Kong | |||||||
| Taiwan Semiconductor Manufacturing Co. Ltd. | 3.8 | Semiconductors & Semiconductor Equipment | Taiwan | |||||||
| Korean Air Lines Co. Ltd. | 3.3 | Transportation | South Korea | |||||||
| Hong Kong Exchanges & Clearing Ltd. | 3.2 | Diversified Financials | Hong Kong | |||||||
| China Merchants Bank Co. Ltd. Class H | 2.7 | Banks | China | |||||||
| Minth Group Ltd. | 2.6 | Automobiles & Components | China | |||||||
| Galaxy Entertainment Group Ltd. | 2.5 | Consumer Services | Hong Kong | |||||||
| Ping An Insurance Group Co. of China Ltd. Class H | 2.4 | Insurance | China | |||||||
| 5 | The top 10 holdings may not be representative of the Fund’s future investments. |
9
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of October 31, 2016 |
| 6 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
10
GOLDMAN SACHS ASIA EQUITY FUND
Performance Summary
October 31, 2016
The following graph shows the value, as of October 31, 2016, of a $1,000,000 investment made on November 1, 2006 in Institutional Shares (at NAV). For comparative purposes, the performance of the Fund’s benchmark, the MSCI® All Country Asia ex-Japan Index (Net, USD, Unhedged), is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations may cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class A, Class C and Class IR Shares will vary from that of Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund.
| Asia Equity Fund’s 10 Year Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from November 1, 2006 through October 31, 2016.
| Average Annual Total Return through October 31, 2016 | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A (Commenced July 8, 1994) | ||||||||||||||
Excluding sales charges | 3.93% | 4.30% | 3.69% | 2.54% | ||||||||||
Including sales charges | -1.77% | 3.13% | 3.11% | 2.28% | ||||||||||
| ||||||||||||||
Class C (Commenced August 15, 1997) | ||||||||||||||
Excluding contingent deferred sales charges | 3.18% | 3.53% | 2.91% | 1.52% | ||||||||||
Including contingent deferred sales charges | 2.18% | 3.53% | 2.91% | 1.52% | ||||||||||
| ||||||||||||||
Institutional (Commenced February 2, 1996) | 4.31% | 4.72% | 4.10% | 2.36% | ||||||||||
| ||||||||||||||
Class IR (Commenced February 28, 2014) | 4.18% | N/A | N/A | 2.59% | ||||||||||
| ||||||||||||||
11
PORTFOLIO RESULTS
Goldman Sachs Emerging Markets Equity Fund
Investment Objective
The Fund seeks long-term capital appreciation.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Fundamental Emerging Markets Equity Portfolio Management Team discusses the Goldman Sachs Emerging Markets Equity Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2016 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional, Service. IR and R6 Shares generated average annual total returns, without sales charges, of 10.01%, 9.14%, 10.43%, 9.91%, 10.26% and 10.52%, respectively. These returns compare to the 9.24% average annual total return of the Fund’s benchmark, the MSCI® Emerging Markets Index (Net, USD, Unhedged) (the “Index”), during the same period. |
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | The Fund outperformed the Index on a relative basis during the Reporting Period. Effective stock selection in Taiwan, China and Brazil benefited the Fund’s performance most. Having an underweighted allocation to China further buoyed the Fund’s relative results. Such positive contributors were only partially offset by the detracting effect of weak stock selection in South Korea, Turkey and Egypt. Having an allocation to cash during a Reporting Period when the Index rallied also dampened the Fund’s relative results. |
| Q | What were some of the Fund’s best-performing individual stocks? |
| A | The strongest contributors to the Fund’s performance during the Reporting Period were Bradespar, Moscow Exchange and BM&FBovespa. |
| Bradespar is the parent company of Vale, one of the world’s largest iron ore producers. As commodity prices increased, Vale’s share price rallied followed by improvement in Bradespar. Shares of Moscow Exchange performed well after the company announced strong second quarter 2016 results supported by an increased stream of income from fees and commissions across its markets. At the end of the Reporting Period, Moscow Exchange remained one of the Fund’s largest overweighted positions in Russia given its monopolistic position and what we see as its strong free cash flow conversion potential. BM&FBovespa performed well after the Brazilian stock exchange made a bidding offer for securities clearinghouse Cetip. At the end of the Reporting Period, we believed the potential merger could enhance significantly the value of BM&FBovespa due to increased barriers to entry. We continued to hold the stock given what we viewed as the potential of the deal with Cetip and its high free cash flow yield. |
| Q | Which stocks detracted significantly from the Fund’s performance during the Reporting Period? |
| A | Detracting most from the Fund’s results relative to the Index were positions in Osstem Implant, Cognizant Technology Solutions and China Traditional Medicine. |
| Shares of Osstem Implant, a South Korean dental implant system manufacturer, performed weakly after the company reported below consensus second quarter 2016 earnings expectations, with both sales and operating profits missing estimates. Its sales were impacted primarily by a delay in the renewal of one of its Chinese subsidiary sales licenses. Cognizant Technology Solutions, a U.S. information technology software and services firm, disappointed due to weaker than consensus expected earnings coupled with lowered guidance for 2016, as reported by the company with its first quarter results for calendar year 2016. China Traditional Medicine (“CTCM”) is an integrated pharmaceutical company mainly engaged in the research and development, manufacture and distribution of traditional Chinese medicines (“TCMs”). Through organic growth and acquisitions, CTCM has a product portfolio of more than 500 TCM drugs under well-known brands. Its stock underperformed the Index during the Reporting Period, as its sales were impacted by a broad industry slowdown. |
12
PORTFOLIO RESULTS
| Q | Which equity market sectors most significantly affected Fund performance during the Reporting Period? |
| A | Relative to the Index, strong stock selection within the financials, industrials and consumer staples sectors contributed most positively to the Fund’s performance. In financials, the Fund’s holding in Russian stock exchange Moscow Exchange, mentioned earlier, was the strongest contributor. In industrials, the Fund’s position in InterGlobe Aviation, the operator of India’s largest domestic carrier by market capitalization, was an outstanding performer. Notably, the Fund’s holding in Kweichow Moutai, the largest Chinese hard liquor maker positioned at the premium end of the market, boosted Fund results within the consumer staples sector. |
| Conversely, weak stock selection in consumer discretionary and health care and having an underweighted allocation to energy, which outperformed the Index during the Reporting Period, detracted most from the Fund’s relative results. In consumer discretionary, the Fund’s position in Hotel Shilla, an operator of luxury hotels and duty-free shops, was the largest detractor from relative returns. In health care, the Fund’s position in Osstem Implant, already mentioned, was the biggest disappointment. In energy, the Fund’s underweighted position in Lukoil Holding, a Russian oil company, detracted most from returns. |
| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | During the Reporting Period, the Fund used participatory notes to gain exposure to select stocks. The use of these derivatives did not have a material impact on the Fund’s performance during the Reporting Period. The Fund also used futures contracts to gain exposure to select stocks, which detracted from results. |
| Q | Did the Fund make any significant purchases or sales during the Reporting Period? |
| A | Within the financials sector in China, we initiated a Fund position in AIA Group. It is the largest independent publicly- listed pan-Asian life insurance group. We are constructive about AIA Group’s ability to tap life insurance demand growth in Asia, which is still under-penetrated. In our view, AIA Group has a strong brand franchise within Asia. Further, we believe the insurance company has demonstrated superior execution capabilities with its double-digit growth in new business value. We expect its China exposure to grow strongly, as the insurer has successfully captured high margin regular premium business. Its diversified regional life insurance exposure and high quality execution track record by its management were contributing factors to the stock’s strong performance since our purchase during the Reporting Period. |
| Within the information technology sector in China, we established a Fund position in Alibaba Group due to its monopolistic position. Alibaba Group is the largest e-commerce company as measured by gross merchandise volume in 2016. |
| Conversely, we exited the Fund’s position in Sino Biopharmaceutical in the Chinese health care sector. Sino Biopharmaceutical is an out-of-Index holding that is primarily engaged in the research and development, manufacturing and sales of a series of generic chemical drugs and is a market leader in drugs for hepatitis and cardio-cerebral diseases. Sino Biopharmaceutical experienced a slowdown in sales during the fourth quarter of 2015 to reduce inventory in the distribution channel. As such, we believe this heightened the risk of price-cutting pressures in its 2016 drug offerings. As a result, we sold the Fund’s position in the company. |
| Within the financials sector, we eliminated the Fund’s position in Cetip during the Reporting Period. Cetip is engaged in the provision of financial management services and is Brazil’s biggest securities clearinghouse. Its stock price had traded sideways during the Reporting Period, following a bidding offer for the company in February 2016 by BM&FBovespa. |
| Q | Were there any notable changes in the Fund’s weightings during the Reporting Period? |
| A | Most sector weights are usually established within a narrow range from the Index, as our team prefers to make decisions at the individual stock level, where we believe we can generate more added value. That said, during the Reporting Period, the Fund’s exposure relative to the Index to financials, materials and energy increased, and its allocations relative to the Index to consumer staples, health care and consumer discretionary decreased. |
| Similarly, allocations to countries are directly the result of various stock selection decisions. As such, the Fund’s exposure relative to the Index in India, the U.S. and the Czech Republic increased, and its allocations relative to the Index to South Korea, Indonesia and China decreased. |
13
PORTFOLIO RESULTS
| Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | There were no changes to the Fund’s portfolio management team during the Reporting Period. However, Niraj Mansingka and Sumit Mangal joined the India equity research team. |
| Q | How was the Fund positioned relative to the Index at the end of the Reporting Period? |
| A | At the end of the Reporting Period, the Fund had overweighted exposures to India and Peru and underweighted exposures to South Korea, South Africa, China, Malaysia, the Philippines, Russia and Taiwan relative to the Index. On the same date, the Fund was relatively neutrally weighted to the Index in the remaining components of the Index and had exposure to several equity markets that are not components of the Index, including Argentina, Georgia, Germany, Singapore, the U.K., the U.S. and Vietnam. The Fund had no exposure to Hungary and Qatar at the end of the Reporting Period. |
| From a sector allocation perspective, the Fund had overweighted positions relative to the Index in financials, consumer discretionary and health care at the end of the Reporting Period. The Fund had underweighted positions compared to the Index in the energy, industrials, information technology and real estate sectors at the end of the Reporting Period. The Fund had rather neutral exposure to the consumer staples and materials sectors and no allocation to the telecommunication services and utilities sectors at the end of the Reporting Period. |
| As always, we remained focused on individual stock selection, with sector and country positioning being a secondary, closely-monitored effect. |
14
FUND BASICS
Emerging Markets Equity Fund
as of October 31, 2016
| PERFORMANCE REVIEW | ||||||||||
| November 1, 2015–October 31, 2016 | Fund Total Return (based on NAV)1 | MSCI® Emerging Markets Index2 | ||||||||
| Class A | 10.01 | % | 9.24 | % | ||||||
| Class C | 9.14 | 9.24 | ||||||||
| Institutional | 10.43 | 9.24 | ||||||||
| Service | 9.91 | 9.24 | ||||||||
| Class IR | 10.26 | 9.24 | ||||||||
| Class R6 | 10.52 | 9.24 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The MSCI® Emerging Markets Index (Net, USD, Unhedged) is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. As of September 30, 2016 the MSCI® Emerging Markets Index consists of the following 23 emerging market country indexes: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. For this Index, the dividend is reinvested after deduction of withholding tax, applying the rate to nonresident individuals who do not benefit from double taxation treaties. MSCI Barra uses withholding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates. The MSCI Emerging Markets Index does not reflect any deductions of expenses associated with mutual funds such as management fees and other expenses. It is not possible to invest directly in an index. |
| STANDARDIZED TOTAL RETURNS3 | ||||||||||||||||||||
| For the period ended 9/30/16 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
| Class A | 11.36 | % | 3.65 | % | 2.57 | % | 5.67 | % | 12/15/97 | |||||||||||
| Class C | 16.06 | 4.05 | 2.39 | 5.30 | 12/15/97 | |||||||||||||||
| Institutional | 18.36 | 5.25 | 3.57 | 6.51 | 12/15/97 | |||||||||||||||
| Service | 17.81 | 4.73 | 3.06 | 5.88 | 12/15/97 | |||||||||||||||
| Class IR | 18.14 | 5.08 | N/A | 2.73 | 8/31/10 | |||||||||||||||
| Class R6 | 18.39 | N/A | N/A | 4.47 | 7/31/15 | |||||||||||||||
| 3 | The Standardized Total Returns are average annual returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service , Class IR and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
15
FUND BASICS
| EXPENSE RATIOS4 | ||||||||||
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Class A | 1.65 | % | 1.92 | % | ||||||
| Class C | 2.40 | 2.67 | ||||||||
| Institutional | 1.25 | 1.52 | ||||||||
| Service | 1.75 | 2.02 | ||||||||
| Class IR | 1.40 | 1.67 | ||||||||
| Class R6 | 1.23 | 1.50 | ||||||||
| 4 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least February 26, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
| TOP TEN HOLDINGS AS OF 10/31/165 | ||||||||||
| Holding | % of Net Assets | Line of Business | Country | |||||||
| Tencent Holdings Ltd. | 5.1 | % | Software & Services | China | ||||||
| Taiwan Semiconductor Manufacturing Co. Ltd. | 3.1 | Semiconductors & Semiconductor Equipment | Taiwan | |||||||
| Ping An Insurance Group Co. of China Ltd. Class H | 2.9 | Insurance | China | |||||||
| AIA Group Ltd. | 2.6 | Insurance | Hong Kong | |||||||
| Hong Kong Exchanges & Clearing Ltd. | 2.5 | Diversified Financials | Hong Kong | |||||||
| PChome Online, Inc. | 2.4 | Software & Services | Taiwan | |||||||
| Samsung Electronics Co. Ltd. | 2.2 | Technology Hardware & Equipment | South Korea | |||||||
| Moscow Exchange MICEX-RTS PJSC | 1.9 | Diversified Financials | Russia | |||||||
| Bank Central Asia Tbk. PT | 1.6 | Banks | Indonesia | |||||||
| Alibaba Group Holding Ltd. ADR | 1.6 | Software & Services | China | |||||||
| 5 | The top 10 holdings may not be representative of the Fund’s future investments. |
16
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of October 31, 2016 |
| 6 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments |
17
GOLDMAN SACHS EMERGING MARKETS EQUITY FUND
Performance Summary
October 31, 2016
The following graph shows the value, as of October 31, 2016, of a $1,000,000 investment made on November 1, 2006 in Institutional Shares (at NAV). For comparative purposes, the performance of the Fund’s benchmark, the MSCI® Emerging Markets Index (Net, USD, Unhedged), is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations may cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class A, Class C, Service, Class IR and Class R6 Shares will vary from that of Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund.
| Emerging Markets Equity Fund’s 10 Year Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from November 1, 2006 through October 31, 2016.
| Average Annual Total Return through October 31, 2016 | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A (Commenced December 15, 1997) | ||||||||||||||
Excluding sales charges | 10.01% | 2.23% | 2.59% | 5.89% | ||||||||||
Including sales charges | 3.96% | 1.09% | 2.01% | 5.58% | ||||||||||
| ||||||||||||||
Class C (Commenced December 15, 1997) | ||||||||||||||
Excluding contingent deferred sales charges | 9.14% | 1.46% | 1.82% | 5.20% | ||||||||||
Including contingent deferred sales charges | 8.14% | 1.46% | 1.82% | 5.20% | ||||||||||
| ||||||||||||||
Institutional (Commenced December 15, 1997) | 10.43% | 2.64% | 3.00% | 6.42% | ||||||||||
| ||||||||||||||
Service (Commenced December 15, 1997) | 9.91% | 2.13% | 2.49% | 5.78% | ||||||||||
| ||||||||||||||
Class IR (Commenced August 31, 2010) | 10.26% | 2.48% | N/A | 2.49% | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | 10.52% | N/A | N/A | 3.22% | ||||||||||
| ||||||||||||||
18
PORTFOLIO RESULTS
Goldman Sachs N-11 Equity Fund
Investment Objective
The Fund seeks long-term capital appreciation.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Fundamental Emerging Markets Equity Portfolio Management Team discusses the Goldman Sachs N-11 Equity Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2016 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional and IR Shares generated average annual total returns, without sales charges, of -2.84%, -3.55%, -2.46% and -2.59%, respectively. These returns compare to the 2.01% average annual total return of the Fund’s benchmark, the MSCI® Next 11 ex-Iran GDP Weighted Index (Net, USD, Unhedged) (the “Index”), during the same period. |
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | The Fund underperformed the Index during the Reporting Period. The Fund’s stock selection in South Korea, Egypt and the Philippines detracted most. Such detractors were only partially offset by the positive contributions of effective stock selection in Vietnam and Bangladesh and of having an underweighted allocation to Nigeria, which significantly lagged the Index during the Reporting Period. |
| Q | Which stocks detracted significantly from the Fund’s performance during the Reporting Period? |
| A | Detracting most from the Fund’s results relative to the Index were positions in Integrated Diagnostics Holdings, Cemex and Osstem Implant. |
| Integrated Diagnostics Holdings provides various medical diagnostics services to patients and other laboratories in Egypt, Jordan and Sudan. Its stock performed poorly during the Reporting Period due to a change in revenue mix in favor of lower margin contracts coupled with higher competition. |
| Cemex is a Mexican multinational building materials company. Its stock detracted from relative performance driven by the Fund’s underweighted position. Cemex yielded stronger margins than the market anticipated during the Reporting Period on the back of its management’s “value before volume” and cost-cutting strategies. The company also benefited from an ongoing economic recovery in many of its markets and a clearer path to deleveraging. |
| Shares of Osstem Implant, a South Korean dental implant system manufacturer, performed weakly after the company reported below consensus second quarter 2016 earnings expectations, with both sales and operating profits missing estimates. Its sales were impacted primarily by a delay in the renewal of one of its Chinese subsidiary sales licenses. |
| Q | What were some of the Fund’s best-performing individual stocks? |
| A | The strongest contributors to the Fund’s performance during the Reporting Period were Bank Central Asia, Vietnam Dairy Products and Sampoerna. |
| Bank Central Asia is one of the largest banks in Indonesia. It performed well during the Reporting Period on the back of strong earnings announcements. Vietnam Dairy Products is a leading South Vietnamese dairy producer, which performed well given its strong market share in the industry and improved earnings due to reductions in raw material prices. Further, the Vietnamese government announced the easing of foreign ownership limits, which was well received by the market. |
Sampoerna is the largest Indonesian tobacco company. Its stock performed well, as the company benefited from its leading position in the cigarettes industry, robust pricing power, strong free cash flow to the firm and sound corporate governance as consumption recovered during the Reporting Period. In addition, its low free float, together with its significant weighting in the Index, drove its stock price higher. (The free float of a company is the portion of its shares that can be publicly traded.) We sold the Fund’s position in Sampoerna, taking profits, as the stock was |
19
PORTFOLIO RESULTS
buoyed by price hikes and rising disposable incomes in its domestic market. |
| Q | Which equity market sectors most significantly affected Fund performance during the Reporting Period? |
| A | Relative to the Index, weak stock selection within the health care, materials and consumer discretionary sectors detracted most from the Fund’s performance during the Reporting Period. At an individual stock level, the Fund’s position in Integrated Diagnostics Holdings, mentioned earlier, was the largest detractor from relative results within the consumer staples sector. In materials, the Fund’s underweight position in Cemex, also mentioned already, hurt most. In consumer discretionary, the Fund’s position in Astra International, an Indonesian automobile and components company, dampened results most. |
| Conversely, strong stock selection within financials and information technology and having an underweighted allocation to industrials, which lagged the Index during the Reporting Period, contributed most positively to the Fund’s performance. In financials, the Fund’s holding in Bank Central Asia, mentioned earlier, was the strongest contributor to performance. In information technology, the fund’s holding in Hynix, a South Korean semiconductor company, was the greatest positive contributor to results. In industrials, the Fund’s position in Jasa Marga, which operates the Indonesian highway system, was the strongest individual performer. |
| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | During the Reporting Period, the Fund gained exposure to select stocks through participatory notes. The use of these derivatives did not have a material impact on Fund results during the Reporting Period. |
| Q | Did the Fund make any significant purchases or sales during the Reporting Period? |
| A | We initiated a Fund position in Naver, a South Korea- based Internet service provider operating a search portal, a social network and an online gaming platform. We expect the company to reap benefits of its cost savings program announced in 2015. |
| We established a Fund position in BRAC Bank, a Bangladeshi bank. In our view, the bank has a strong commercial banking franchise and also offers retail and small and medium enterprise banking services. |
| In addition to those sales mentioned earlier, we exited the Fund’s position in Nigerian Breweries, a large Nigerian beverage manufacturer, as the country’s equities were affected by the devaluation of the naira. In June 2016, the Nigerian naira was devalued by approximately 40%, not unexpected by many analysts given low oil prices. |
| Q | Were there any notable changes in the Fund’s weightings during the Reporting Period? |
| A | Most sector weights are usually established within a narrow range from the Index, as our team prefers to make decisions at the individual stock level, where we believe we can generate more added value. That said, during the Reporting Period, the Fund’s exposure relative to the Index to energy, information technology and materials increased, and its allocations relative to the Index to consumer staples, and health care decreased. |
| Similarly, allocations to countries are directly the result of various stock selection decisions. As such, the Fund’s allocation relative to the Index to South Korea, Mexico and Pakistan increased, and its exposure relative to the Index in Nigeria, Egypt and Bangladesh decreased. |
| Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | There were no changes to the Fund’s portfolio management team during the Reporting Period. |
| Q | How was the Fund positioned relative to the Index at the end of the Reporting Period? |
| A | At the end of the Reporting Period, the Fund was overweight relative to the Index in Pakistan, Vietnam and Mexico and was relatively neutrally weighted to the Index in all of the remaining country components of the Index, with the exception of Nigeria, where the Fund held no exposure at all. |
| From a sector allocation perspective, the Fund had an overweighted position relative to the Index in financials and underweighted positions compared to the Index in industrials, materials, energy and telecommunication services at the end of the Reporting Period. The Fund was relatively neutrally weighted to the Index in all of the remaining sectors of the Index at the end of the Reporting Period. |
| As always, we remained focused on individual stock selection, with sector and country positioning being a secondary, closely-monitored effect. |
20
FUND BASICS
N-11 Equity Fund
as of October 31, 2016
| PERFORMANCE REVIEW | ||||||||||
| November 1, 2015–October 31, 2016 | Fund Total Return (based on NAV)1 | MSCI® Next 11 ex-Iran GDP Weighted Index2 | ||||||||
| Class A | -2.84 | % | 2.01 | % | ||||||
| Class C | -3.55 | 2.01 | ||||||||
| Institutional | -2.46 | 2.01 | ||||||||
| Class IR | -2.59 | 2.01 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The MSCI® Next 11 ex-Iran GDP Weighted Index (Net, Unhedged, USD) comprises the following 10 emerging and frontier market indices: Bangladesh, Egypt, Indonesia, Mexico, Nigeria, Pakistan, Philippines, South Korea, Turkey and Vietnam. The index is designed to reflect the performance of the N-11 ex Iran countries based on the size of each country’s economy rather than the size of its equity market, by using country weights based on a country’s gross domestic product (GDP). Each country is divided into large- and mid-cap segments and provides exhaustive coverage of these size segments by targeting a coverage range around 85% of free float-adjusted market capitalization in that market. It is not possible to invest directly in an index. |
| STANDARDIZED TOTAL RETURNS3 | ||||||||||||||||||
| For the period ended 9/30/16 | One Year | Five Years | Since Inception | Inception Date | ||||||||||||||
| Class A | -1.33 | % | -0.56 | % | -2.54 | % | 2/28/11 | |||||||||||
| Class C | 2.66 | -0.19 | -2.30 | 2/28/11 | ||||||||||||||
| Institutional | 4.89 | 0.97 | -1.17 | 2/28/11 | ||||||||||||||
| Class IR | 4.66 | 0.83 | -1.31 | 2/28/11 | ||||||||||||||
| 3 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
21
FUND BASICS
| EXPENSE RATIOS4 | ||||||||||
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Class A | 1.73 | % | 2.07 | % | ||||||
| Class C | 2.48 | 2.82 | ||||||||
| Institutional | 1.33 | 1.68 | ||||||||
| Class IR | 1.48 | 1.82 | ||||||||
| 4 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least February 26, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
| TOP TEN HOLDINGS AS OF 10/31/165 | ||||||||||
| Holding | % of Net Assets | Line of Business | Country | |||||||
| Samsung Electronics Co. Ltd. | 7.3 | % | Technology Hardware & Equipment | South Korea | ||||||
| Bank Central Asia Tbk. PT | 5.7 | Banks | Indonesia | |||||||
| Commercial International Bank Egypt SAE | 5.5 | Banks | Egypt | |||||||
| Telekomunikasi Indonesia Persero Tbk. PT | 3.9 | Telecommunication Services | Indonesia | |||||||
| Akbank TAS | 2.8 | Banks | Turkey | |||||||
| Samsung Fire & Marine Insurance Co. Ltd. | 2.7 | Insurance | South Korea | |||||||
| Alsea SAB de CV | 2.6 | Consumer Services | Mexico | |||||||
| Fomento Economico Mexicano SAB de CV ADR | 2.5 | Food, Beverage & Tobacco | Mexico | |||||||
| BIM Birlesik Magazalar A/S | 2.5 | Food & Staples Retailing | Turkey | |||||||
| Wal-Mart de Mexico SAB de CV | 2.4 | Food & Staples Retailing | Mexico | |||||||
| 5 | The top 10 holdings may not be representative of the Fund’s future investments. |
22
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of October 31, 2016 |
| 6 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Underlying sector allocations of exchange traded funds held by the Fund are not reflected in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
23
GOLDMAN SACHS N-11 EQUITY FUND
Performance Summary
October 31, 2016
The following graph shows the value, as of October 31, 2016, of a $1,000,000 investment made on February 28, 2011 (commencement of operations) in Institutional Shares (at NAV). For comparative purposes, the performance of the Fund’s benchmark, the MSCI® Next 11 ex Iran GDP Weighted Index (Net, USD, Unhedged), is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations may cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class A, Class C and Class IR Shares will vary from that of Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund.
| N-11 Equity Fund’s Lifetime Performance |
Performance of a $1,000,000 Investment from February 28, 2011 through October 31, 2016.
| Average Annual Total Return through October 31, 2016 | One Year | Five Years | Since Inception | |||||||||
Class A (Commenced February 28, 2011) | ||||||||||||
Excluding sales charges | -2.84% | -1.13% | -1.74% | |||||||||
Including sales charges | -8.18% | -2.25% | -2.71% | |||||||||
| ||||||||||||
Class C (Commenced February 28, 2011) | ||||||||||||
Excluding contingent deferred sales charges | -3.55% | -1.88% | -2.49% | |||||||||
Including contingent deferred sales charges | -4.52% | -1.88% | -2.49% | |||||||||
| ||||||||||||
Institutional (Commenced February 28, 2011) | -2.46% | -0.74% | -1.36% | |||||||||
| ||||||||||||
Class IR (Commenced February 28, 2011) | -2.59% | -0.88% | -1.50% | |||||||||
| ||||||||||||
24
GOLDMAN SACHS ASIA EQUITY FUND
Schedule of Investments
October 31, 2016
Shares | Description | Value | ||||||
| Common Stocks – 96.9% | ||||||||
| China – 31.5% | ||||||||
| 14,558 | Alibaba Group Holding Ltd. ADR (Software & Services)* | $ | 1,480,403 | |||||
| 284,300 | Anhui Conch Cement Co. Ltd. Class H (Materials) | 785,782 | ||||||
| 128,000 | ANTA Sports Products Ltd. (Consumer Durables & Apparel) | 369,129 | ||||||
| 600,000 | Brilliance China Automotive Holdings Ltd. (Automobiles & Components) | 713,705 | ||||||
| 3,459 | China Biologic Products, Inc. (Pharmaceuticals, Biotechnology & Life Sciences)* | 408,543 | ||||||
| 300,000 | China Communications Construction Co. Ltd. Class H (Capital Goods) | 329,416 | ||||||
| 797,000 | China Merchants Bank Co. Ltd. Class H (Banks) | 1,938,104 | ||||||
| 236,000 | China Overseas Land & Investment Ltd. (Real Estate) | 724,494 | ||||||
| 1,292,000 | China Petroleum & Chemical Corp. Class H (Energy) | 934,376 | ||||||
| 544,000 | China Resources Land Ltd. (Real Estate) | 1,351,042 | ||||||
| 27,047 | Ctrip.com International Ltd. ADR (Retailing)* | 1,194,125 | ||||||
| 74,000 | Green Seal Holding Ltd. (Materials) | 392,561 | ||||||
| 1,439,000 | Hilong Holding Ltd. (Energy) | 343,302 | ||||||
| 1,378,635 | Industrial & Commercial Bank of China Ltd. Class H (Banks) | 827,511 | ||||||
| 542,000 | Minth Group Ltd. (Automobiles & Components) | 1,918,859 | ||||||
| 22,204 | New Oriental Education & Technology Group, Inc. ADR (Consumer Services)* | 1,113,087 | ||||||
| 335,500 | Ping An Insurance Group Co. of China Ltd. Class H (Insurance) | 1,765,911 | ||||||
| 81,000 | Shenzhou International Group Holdings Ltd. (Consumer Durables & Apparel) | 536,511 | ||||||
| 42,752 | Silergy Corp. (Semiconductors & Semiconductor Equipment) | 622,887 | ||||||
| 161,300 | Tencent Holdings Ltd. (Software & Services) | 4,274,826 | ||||||
| 69,871 | Vipshop Holdings Ltd. ADR (Retailing)* | 955,137 | ||||||
|
| |||||||
| 22,979,711 | ||||||||
|
| |||||||
| Hong Kong – 10.7% | ||||||||
| 523,836 | AIA Group Ltd. (Insurance) | 3,295,456 | ||||||
| 441,000 | Galaxy Entertainment Group Ltd. (Consumer Services) | 1,805,731 | ||||||
| 87,266 | Hong Kong Exchanges & Clearing Ltd. (Diversified Financials) | 2,307,008 | ||||||
| 76,200 | IMAX China Holding, Inc. (Media)*(a) | 360,287 | ||||||
| 1,960,000 | Peace Mark Holdings Ltd. (Consumer Durables & Apparel)* | — | ||||||
|
| |||||||
| 7,768,482 | ||||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| India – 16.6% | ||||||||
| 3,345 | Abbott India Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | $ | 250,407 | |||||
| 100,147 | Ashiana Housing Ltd. (Real Estate) | 220,053 | ||||||
| 18,099 | Aurobindo Pharma Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 221,766 | ||||||
| 37,131 | Bajaj Finance Ltd. (Diversified Financials) | 600,642 | ||||||
| 4,828 | Bayer CropScience Ltd. (Materials) | 310,569 | ||||||
| 10,957 | Britannia Industries Ltd. (Food, Beverage & Tobacco) | 544,172 | ||||||
| 32,642 | Castrol India Ltd. (Materials) | 223,779 | ||||||
| 16,109 | Credit Analysis & Research Ltd. (Diversified Financials) | 361,441 | ||||||
| 296,451 | Crompton Greaves Consumer Electricals Ltd. (Consumer Durables & Apparel)* | 820,731 | ||||||
| 71,554 | Dewan Housing Finance Corp. Ltd. (Banks) | 353,493 | ||||||
| 91,522 | Equitas Holdings Ltd. (Diversified Financials)* | 249,509 | ||||||
| 9,892 | GE Power India Ltd. (Capital Goods)* | 76,457 | ||||||
| 2,803 | Gillette India Ltd. (Household & Personal Products) | 180,906 | ||||||
| 4,131 | Goodyear India Ltd. (Automobiles & Components) | 47,154 | ||||||
| 265,110 | Hindustan Zinc Ltd. (Materials) | 1,004,648 | ||||||
| 10,307 | Info Edge India Ltd. (Software & Services) | 139,238 | ||||||
| 14,814 | Infosys Ltd. (Software & Services) | 222,099 | ||||||
| 168,295 | Mahindra & Mahindra Financial Services Ltd. (Diversified Financials) | 913,310 | ||||||
| 6,431 | Maruti Suzuki India Ltd. (Automobiles & Components) | 568,506 | ||||||
| 9,015 | MPS Ltd. (Media) | 94,818 | ||||||
| 535 | MRF Ltd. (Automobiles & Components) | 384,387 | ||||||
| 23,433 | Multi Commodity Exchange of India Ltd. (Diversified Financials) | 455,304 | ||||||
| 166,671 | Muthoot Finance Ltd. (Diversified Financials) | 907,541 | ||||||
| 8,510 | Navin Fluorine International Ltd. (Materials) | 329,253 | ||||||
| 67,991 | Parag Milk Foods Ltd. (Food, Beverage & Tobacco)*(a) | 323,339 | ||||||
| 47,226 | Prestige Estates Projects Ltd. (Real Estate) | 137,371 | ||||||
| 1,833 | Procter & Gamble Hygiene & Health Care Ltd. (Household & Personal Products) | 193,419 | ||||||
| 94,336 | RBL Bank Ltd. (Banks)*(a) | 551,723 | ||||||
| 48,060 | SKS Microfinance Ltd. (Diversified Financials)* | 637,477 | ||||||
| 31,938 | TeamLease Services Ltd. (Commercial & Professional Services)* | 481,032 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS ASIA EQUITY FUND
Schedule of Investments (continued)
October 31, 2016
Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| India – (continued) | ||||||||
| 11,924 | Thermax Ltd. (Capital Goods) | $ | 153,541 | |||||
| 29,767 | VRL Logistics Ltd. (Transportation) | 131,179 | ||||||
|
| |||||||
| 12,089,264 | ||||||||
|
| |||||||
| Indonesia – 3.4% | ||||||||
| 1,497,900 | Indofood CBP Sukses Makmur Tbk. PT (Food, Beverage & Tobacco) | 1,078,968 | ||||||
| 4,294,400 | Telekomunikasi Indonesia Persero Tbk. PT (Telecommunication Services) | 1,386,549 | ||||||
|
| |||||||
| 2,465,517 | ||||||||
|
| |||||||
| Malaysia – 1.9% | ||||||||
| 476,300 | Bursa Malaysia Bhd. (Diversified Financials) | 982,121 | ||||||
| 513,300 | IJM Corp. Bhd. (Capital Goods) | 403,926 | ||||||
|
| |||||||
| 1,386,047 | ||||||||
|
| |||||||
| Philippines – 1.1% | ||||||||
| 71,950 | Jollibee Foods Corp. (Consumer Services) | 353,349 | ||||||
| 832,400 | Megawide Construction Corp. (Consumer Durables & Apparel)* | 257,856 | ||||||
| 130,300 | Pilipinas Shell Petroleum Corp. (Energy)* | 180,290 | ||||||
|
| |||||||
| 791,495 | ||||||||
|
| |||||||
| Singapore – 1.5% | ||||||||
| 104,710 | DBS Group Holdings Ltd. (Banks) | 1,128,638 | ||||||
|
| |||||||
| South Korea – 16.4% | ||||||||
| 507 | Amorepacific Corp. (Household & Personal Products) | 158,842 | ||||||
| 922 | CLIO Cosmetics Co. Ltd. (Household & Personal Products)* | 33,036 | ||||||
| 234 | Cosmecca Korea Co. Ltd. (Household & Personal Products)* | 13,293 | ||||||
| 957 | Hanssem Co. Ltd. (Consumer Durables & Apparel) | 148,216 | ||||||
| 2,691 | Hugel, Inc. (Pharmaceuticals, Biotechnology & Life Sciences)* | 805,790 | ||||||
| 5,749 | Hwaseung Enterprise Co. Ltd. (Consumer Durables & Apparel)* | 75,364 | ||||||
| 1,480 | Hyundai Mobis Co. Ltd. (Automobiles & Components) | 352,993 | ||||||
| 6,325 | Korea Kolmar Co. Ltd. (Household & Personal Products) | 450,037 | ||||||
| 1,078 | Korea Zinc Co. Ltd. (Materials) | 428,040 | ||||||
| 87,003 | Korean Air Lines Co. Ltd. (Transportation)* | 2,432,005 | ||||||
| 1,787 | LG Chem Ltd. (Materials) | 383,812 | ||||||
| 782 | NAVER Corp. (Software & Services) | 585,065 | ||||||
| 1,988 | NongShim Co. Ltd. (Food, Beverage & Tobacco) | 500,258 | ||||||
| 6,244 | Osstem Implant Co. Ltd. (Health Care Equipment & Services)* | 297,057 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| South Korea – (continued) | ||||||||
| 311 | Samsung Biologics Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)* | $ | 36,964 | |||||
| 2,700 | Samsung Electronics Co. Ltd. (Technology Hardware & Equipment) | 3,861,887 | ||||||
| 2,564 | Samsung Fire & Marine Insurance Co. Ltd. (Insurance) | 652,284 | ||||||
| 17,306 | SK Hynix, Inc. (Semiconductors & Semiconductor Equipment) | 618,977 | ||||||
| 8,786 | Viatron Technologies, Inc. (Semiconductors & Semiconductor Equipment) | 154,558 | ||||||
|
| |||||||
| 11,988,478 | ||||||||
|
| |||||||
| Taiwan – 10.0% | ||||||||
| 143,000 | Chipbond Technology Corp. (Semiconductors & Semiconductor Equipment) | 197,406 | ||||||
| 24,000 | Chunghwa Precision Test Tech Co. Ltd. (Technology Hardware & Equipment) | 797,664 | ||||||
| 3,000 | Largan Precision Co. Ltd. (Technology Hardware & Equipment) | 353,926 | ||||||
| 76,000 | Nien Made Enterprise Co. Ltd. (Consumer Durables & Apparel) | 880,286 | ||||||
| 73,787 | PChome Online, Inc. (Software & Services) | 801,189 | ||||||
| 52,775 | Poya International Co. Ltd. (Retailing) | 767,185 | ||||||
| 109,698 | Superalloy Industrial Co. Ltd. (Automobiles & Components) | 682,071 | ||||||
| 464,338 | Taiwan Semiconductor Manufacturing Co. Ltd. (Semiconductors & Semiconductor Equipment) | 2,786,658 | ||||||
|
| |||||||
| 7,266,385 | ||||||||
|
| |||||||
| Thailand – 3.5% | ||||||||
| 131,400 | Airports of Thailand PCL (Transportation) | 1,429,547 | ||||||
| 992,600 | Beauty Community PCL (Retailing) | 322,681 | ||||||
| 79,500 | Bumrungrad Hospital PCL (Health Care Equipment & Services) | 415,311 | ||||||
| 550,600 | Thai Beverage PCL (Food, Beverage & Tobacco) | 381,688 | ||||||
|
| |||||||
| 2,549,227 | ||||||||
|
| |||||||
| United States – 0.3% | ||||||||
| 3,999 | Cognizant Technology Solutions Corp. Class A (Software & Services)* | 205,349 | ||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $67,868,890) | $ | 70,618,593 | ||||||
|
| |||||||
| 26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ASIA EQUITY FUND
| Shares | Distribution Rate | Value | ||||||
| Investment Company(b)(c) – 1.0% | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||||
| 759,355 | 0.296 | % | $ | 759,355 | ||||
| (Cost $759,355) | ||||||||
| ||||||||
| Units | Description | Expiration Month | Value | |||||||
| Participation Notes* – 2.5% | ||||||||||
| China – 1.3% | ||||||||||
| 26,398 | Hangzhou Robam Appliances Co. Ltd. (Consumer Durables & Apparel) | 10/17 | $ | 147,278 | ||||||
| 13,000 | Hangzhou Robam Appliances Co. Ltd. (Consumer Durables & Apparel) | 03/18 | 72,529 | |||||||
| 113,500 | Jiangsu Hengrui Medicine Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 03/17 | 772,259 | |||||||
|
| |||||||||
| 992,066 | ||||||||||
| ||||||||||
| Vietnam – 1.2% | ||||||||||
| 135,684 | Vietnam Dairy Products JSC (Food, Beverage & Tobacco) | 01/17 | 862,792 | |||||||
| ||||||||||
| TOTAL PARTICIPATION NOTES | ||||||||||
| (Cost $1,732,570) | $ | 1,854,858 | ||||||||
| ||||||||||
| TOTAL INVESTMENTS – 100.4% | ||||||||||
| (Cost $70,360,815) | $ | 73,232,806 | ||||||||
| ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.4)% |
| (314,624 | ) | |||||||
| ||||||||||
| NET ASSETS – 100.0% | $ | 72,918,182 | ||||||||
| ||||||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $1,235,349, which represents approximately 1.7% of net assets as of October 31, 2016. | |
(b) | Represents an affiliated issuer. | |
(c) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on October 31, 2016. | |
| ||
Investment Abbreviation: | ||
ADR | —American Depositary Receipt | |
| ||
| The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS EMERGING MARKETS EQUITY FUND
Schedule of Investments
October 31, 2016
Shares | Description | Value | ||||||
| Common Stocks – 94.7% | ||||||||
| Argentina – 1.7% | ||||||||
| 328,309 | Grupo Supervielle SA ADR (Banks)* | $ | 4,983,731 | |||||
| 28,531 | MercadoLibre, Inc. (Software & Services) | 4,793,493 | ||||||
|
| |||||||
| 9,777,224 | ||||||||
|
| |||||||
| Austria – 0.7% | ||||||||
| 50,985 | DO & CO AG (Consumer Services) | 3,944,680 | ||||||
|
| |||||||
| Brazil – 3.6% | ||||||||
| 606,741 | BB Seguridade Participacoes SA (Insurance) | 6,109,228 | ||||||
| 631,355 | BM&FBovespa SA—Bolsa de Valores Mercadorias e Futuros (Diversified Financials) | 3,718,507 | ||||||
| 364,753 | Ez Tec Empreendimentos e Participacoes SA (Consumer Durables & Apparel) | 1,888,899 | ||||||
| 1,222,900 | FPC Par Corretora de Seguros SA (Insurance) | 5,781,191 | ||||||
| 801,609 | Odontoprev SA (Health Care Equipment & Services) | 3,013,568 | ||||||
|
| |||||||
| 20,511,393 | ||||||||
|
| |||||||
| Chile – 0.4% | ||||||||
| 33,161 | Banco de Chile ADR (Banks) | 2,403,509 | ||||||
|
| |||||||
| China – 15.2% | ||||||||
| 45,551 | 58.com, Inc. ADR (Software & Services)* | 1,906,309 | ||||||
| 90,725 | Alibaba Group Holding Ltd. ADR (Software & Services)* | 9,225,825 | ||||||
| 34,629 | Baidu, Inc. ADR (Software & Services)* | 6,124,485 | ||||||
| 139,409 | Ctrip.com International Ltd. ADR (Retailing)* | 6,154,907 | ||||||
| 77,456 | JD.com, Inc. ADR (Retailing)* | 2,009,983 | ||||||
| 1,692,000 | Minth Group Ltd. (Automobiles & Components) | 5,990,240 | ||||||
| 153,188 | New Oriental Education & Technology Group, Inc. ADR (Consumer Services)* | 7,679,315 | ||||||
| 3,061,000 | Ping An Insurance Group Co. of China Ltd. Class H (Insurance) | 16,111,634 | ||||||
| 127,497 | Silergy Corp. (Semiconductors & Semiconductor Equipment) | 1,857,603 | ||||||
| 1,088,900 | Tencent Holdings Ltd. (Software & Services) | 28,858,395 | ||||||
|
| |||||||
| 85,918,696 | ||||||||
|
| |||||||
| Colombia – 0.5% | ||||||||
| 85,329 | Banco de Bogota SA (Banks) | 1,761,760 | ||||||
| 100,000 | Grupo Aval Acciones y Valores SA ADR (Banks) | 819,000 | ||||||
|
| |||||||
| 2,580,760 | ||||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Czech Republic – 1.1% | ||||||||
| 1,718,826 | Moneta Money Bank A/S (Banks)*(a) | $ | 5,993,983 | |||||
|
| |||||||
| Egypt – 0.5% | ||||||||
| 298,812 | Commercial International Bank Egypt SAE (Registered) GDR (Banks) | 1,320,749 | ||||||
| 471,281 | Integrated Diagnostics Holdings plc (Health Care Equipment & Services)(a) | 1,296,023 | ||||||
|
| |||||||
| 2,616,772 | ||||||||
|
| |||||||
| Georgia – 0.9% | ||||||||
| 44,784 | BGEO Group plc (Banks) | 1,620,350 | ||||||
| 205,317 | TBC Bank Group plc (Banks)* | 3,239,360 | ||||||
|
| |||||||
| 4,859,710 | ||||||||
|
| |||||||
| Greece – 0.8% | ||||||||
| 466,034 | Hellenic Exchanges—Athens Stock Exchange SA (Diversified Financials) | 2,300,985 | ||||||
| 214,686 | Sarantis SA (Household & Personal Products) | 2,366,142 | ||||||
|
| |||||||
| 4,667,127 | ||||||||
|
| |||||||
| Hong Kong – 7.7% | ||||||||
| 2,290,600 | AIA Group Ltd. (Insurance) | 14,410,182 | ||||||
| 1,712,000 | Galaxy Entertainment Group Ltd. (Consumer Services) | 7,010,003 | ||||||
| 542,195 | Hong Kong Exchanges & Clearing Ltd. (Diversified Financials) | 14,333,741 | ||||||
| 426,500 | IMAX China Holding, Inc. (Media)*(a) | 2,016,565 | ||||||
| 1,506,000 | Techtronic Industries Co. Ltd. (Consumer Durables & Apparel) | 5,658,267 | ||||||
|
| |||||||
| 43,428,758 | ||||||||
|
| |||||||
| India – 16.0% | ||||||||
| 25,285 | Abbott India Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 1,892,840 | ||||||
| 982,857 | Ashiana Housing Ltd. (Real Estate) | 2,159,632 | ||||||
| 275,626 | Aurobindo Pharma Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 3,377,233 | ||||||
| 127,910 | Bajaj Finance Ltd. (Diversified Financials) | 2,069,110 | ||||||
| 44,573 | Bayer CropScience Ltd. (Materials) | 2,867,231 | ||||||
| 24,516 | Britannia Industries Ltd. (Food, Beverage & Tobacco) | 1,217,571 | ||||||
| 240,693 | Castrol India Ltd. (Materials) | 1,650,087 | ||||||
| 86,958 | Credit Analysis & Research Ltd. (Diversified Financials) | 1,951,097 | ||||||
| 1,794,055 | Crompton Greaves Consumer Electricals Ltd. (Consumer Durables & Apparel)* | 4,966,884 | ||||||
| 648,035 | Dewan Housing Finance Corp. Ltd. (Banks) | 3,201,445 | ||||||
| 740,255 | Equitas Holdings Ltd. (Diversified Financials)* | 2,018,098 | ||||||
| 51,222 | GE Power India Ltd. (Capital Goods)* | 395,906 | ||||||
|
| |||||||
| 28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EMERGING MARKETS EQUITY FUND
Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| India – (continued) | ||||||||
| 42,878 | Gillette India Ltd. (Household & Personal Products) | $ | 2,767,348 | |||||
| 30,813 | Goodyear India Ltd. (Automobiles & Components) | 351,722 | ||||||
| 2,195,921 | Hindustan Zinc Ltd. (Materials) | 8,321,556 | ||||||
| 249,132 | Info Edge India Ltd. (Software & Services) | 3,365,535 | ||||||
| 109,900 | Infosys Ltd. (Software & Services) | 1,647,675 | ||||||
| 1,186,400 | Mahindra & Mahindra Financial Services Ltd. (Diversified Financials) | 6,438,401 | ||||||
| 38,887 | Maruti Suzuki India Ltd. (Automobiles & Components) | 3,437,646 | ||||||
| 106,621 | MPS Ltd. (Media) | 1,121,418 | ||||||
| 2,442 | MRF Ltd. (Automobiles & Components) | 1,754,528 | ||||||
| 173,274 | Multi Commodity Exchange of India Ltd. (Diversified Financials) | 3,366,719 | ||||||
| 1,306,629 | Muthoot Finance Ltd. (Diversified Financials) | 7,114,730 | ||||||
| 50,754 | Navin Fluorine International Ltd. (Materials) | 1,963,677 | ||||||
| 322,076 | Parag Milk Foods Ltd. (Food, Beverage & Tobacco)*(a) | 1,531,668 | ||||||
| 684,355 | Prestige Estates Projects Ltd. (Real Estate) | 1,990,646 | ||||||
| 18,315 | Procter & Gamble Hygiene & Health Care Ltd. (Household & Personal Products) | 1,932,609 | ||||||
| 694,590 | RBL Bank Ltd. (Banks)*(a) | 4,062,301 | ||||||
| 355,886 | SKS Microfinance Ltd. (Diversified Financials)* | 4,720,539 | ||||||
| 199,436 | TeamLease Services Ltd. (Commercial & Professional Services)* | 3,003,791 | ||||||
| 165,445 | Thermax Ltd. (Capital Goods) | 2,130,370 | ||||||
| 323,501 | VRL Logistics Ltd. (Transportation) | 1,425,622 | ||||||
|
| |||||||
| 90,215,635 | ||||||||
|
| |||||||
| Indonesia – 2.5% | ||||||||
| 7,790,900 | Bank Central Asia Tbk. PT (Banks) | 9,262,956 | ||||||
| 3,082,200 | Indofood CBP Sukses Makmur Tbk. PT (Food, Beverage & Tobacco) | 2,220,171 | ||||||
| 19,413,000 | Summarecon Agung Tbk. PT (Real Estate) | 2,452,270 | ||||||
|
| |||||||
| 13,935,397 | ||||||||
|
| |||||||
| Luxembourg – 0.5% | ||||||||
| 52,935 | Stabilus SA (Capital Goods)* | 2,761,212 | ||||||
|
| |||||||
| Malaysia – 1.5% | ||||||||
| 4,359,000 | 7-Eleven Malaysia Holdings Bhd. (Food & Staples Retailing) | 1,808,024 | ||||||
| 3,107,000 | Bursa Malaysia Bhd. (Diversified Financials) | 6,406,567 | ||||||
|
| |||||||
| 8,214,591 | ||||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Mexico – 3.7% | ||||||||
| 1,242,585 | Alsea SAB de CV (Consumer Services) | $ | 4,637,424 | |||||
| 3,783,210 | Bolsa Mexicana de Valores SAB de CV (Diversified Financials) | 6,060,822 | ||||||
| 1,336,220 | Gentera SAB de CV (Diversified Financials) | 2,636,951 | ||||||
| 2,493,068 | Unifin Financiera SAB de CV SOFOM ENR (Diversified Financials) | 7,433,962 | ||||||
|
| |||||||
| 20,769,159 | ||||||||
|
| |||||||
| Peru – 2.2% | ||||||||
| 2,416,795 | BBVA Banco Continental SA (Banks) | 2,816,660 | ||||||
| 46,501 | Credicorp Ltd. (Banks) | 6,913,769 | ||||||
| 85,497 | Intercorp Financial Services, Inc. (Banks) | 2,667,506 | ||||||
|
| |||||||
| 12,397,935 | ||||||||
|
| |||||||
| Philippines – 0.2% | ||||||||
| 983,200 | Pilipinas Shell Petroleum Corp. (Energy)* | 1,360,409 | ||||||
|
| |||||||
| Poland – 1.4% | ||||||||
| 75,893 | KRUK SA (Diversified Financials) | 4,400,856 | ||||||
| 382,116 | Warsaw Stock Exchange (Diversified Financials) | 3,809,529 | ||||||
|
| |||||||
| 8,210,385 | ||||||||
|
| |||||||
| Russia – 2.7% | ||||||||
| 247,486 | Lenta Ltd. GDR (Food & Staples Retailing)* | 1,792,647 | ||||||
| 18,237 | Magnit PJSC (Food & Staples Retailing) | 3,057,977 | ||||||
| 5,688,747 | Moscow Exchange MICEX-RTS PJSC (Diversified Financials) | 10,478,797 | ||||||
|
| |||||||
| 15,329,421 | ||||||||
|
| |||||||
| Singapore – 0.4% | ||||||||
| 416,300 | Singapore Exchange Ltd. (Diversified Financials) | 2,121,045 | ||||||
|
| |||||||
| South Africa – 2.9% | ||||||||
| 7,422,356 | Alexander Forbes Group Holdings Ltd. (Diversified Financials) | 3,368,856 | ||||||
| 147,905 | Bid Corp. Ltd. (Food & Staples Retailing) | 2,597,290 | ||||||
| 309,806 | JSE Ltd. (Diversified Financials) | 3,609,281 | ||||||
| 1,307,076 | Petra Diamonds Ltd. (Materials)* | 2,433,499 | ||||||
| 211,507 | Santam Ltd. (Insurance) | 3,797,597 | ||||||
| 595,187 | Transaction Capital Ltd. (Diversified Financials) | 583,103 | ||||||
|
| |||||||
| 16,389,626 | ||||||||
|
| |||||||
| South Korea – 9.0% | ||||||||
| 3,207 | Amorepacific Corp. (Household & Personal Products) | 1,004,749 | ||||||
| 7,086 | CLIO Cosmetics Co. Ltd. (Household & Personal Products)* | 253,901 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS EMERGING MARKETS EQUITY FUND
Schedule of Investments (continued)
October 31, 2016
Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| South Korea – (continued) | ||||||||
| 1,786 | Cosmecca Korea Co. Ltd. (Household & Personal Products)* | $ | 101,455 | |||||
| 21,667 | Hanssem Co. Ltd. (Consumer Durables & Apparel) | 3,355,687 | ||||||
| 11,016 | Hugel, Inc. (Pharmaceuticals, Biotechnology & Life Sciences)* | 3,298,619 | ||||||
| 42,395 | Hwaseung Enterprise Co. Ltd. (Consumer Durables & Apparel)* | 555,757 | ||||||
| 20,643 | Korea Kolmar Co. Ltd. (Household & Personal Products) | 1,468,794 | ||||||
| 7,139 | Korea Zinc Co. Ltd. (Materials) | 2,834,676 | ||||||
| 114,273 | Korean Air Lines Co. Ltd. (Transportation)* | 3,194,286 | ||||||
| 10,384 | LG Chem Ltd. (Materials) | 2,230,275 | ||||||
| 7,678 | NAVER Corp. (Software & Services) | 5,744,415 | ||||||
| 7,845 | NongShim Co. Ltd. (Food, Beverage & Tobacco) | 1,974,105 | ||||||
| 46,468 | Osstem Implant Co. Ltd. (Health Care Equipment & Services)* | 2,210,703 | ||||||
| 95,814 | Samchuly Bicycle Co. Ltd. (Consumer Durables & Apparel) | 1,178,218 | ||||||
| 2,386 | Samsung Biologics Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)* | 283,588 | ||||||
| 8,866 | Samsung Electronics Co. Ltd. (Technology Hardware & Equipment) | 12,681,292 | ||||||
| 14,528 | Samsung Fire & Marine Insurance Co. Ltd. (Insurance) | 3,695,938 | ||||||
| 99,086 | SK Hynix, Inc. (Semiconductors & Semiconductor Equipment) | 3,543,973 | ||||||
| 68,314 | Viatron Technologies, Inc. (Semiconductors & Semiconductor Equipment) | 1,201,737 | ||||||
|
| |||||||
| 50,812,168 | ||||||||
|
| |||||||
| Taiwan – 10.2% | ||||||||
| 1,007,000 | Chipbond Technology Corp. (Semiconductors & Semiconductor Equipment) | 1,390,123 | ||||||
| 127,000 | Chunghwa Precision Test Tech Co. Ltd. (Technology Hardware & Equipment) | 4,220,974 | ||||||
| 25,000 | Dr. Wu Skincare Co. Ltd. (Household & Personal Products) | 171,008 | ||||||
| 24,000 | Largan Precision Co. Ltd. (Technology Hardware & Equipment) | 2,831,404 | ||||||
| 724,000 | Nien Made Enterprise Co. Ltd. (Consumer Durables & Apparel) | 8,385,883 | ||||||
| 1,266,234 | PChome Online, Inc. (Software & Services) | 13,748,932 | ||||||
| 344,783 | Poya International Co. Ltd. (Retailing) | 5,012,077 | ||||||
| 203,000 | President Chain Store Corp. (Food & Staples Retailing) | 1,516,740 | ||||||
| 476,265 | Superalloy Industrial Co. Ltd. (Automobiles & Components) | 2,961,282 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Taiwan – (continued) | ||||||||
| 2,879,883 | Taiwan Semiconductor Manufacturing Co. Ltd. (Semiconductors & Semiconductor Equipment) | $ | 17,283,205 | |||||
|
| |||||||
| 57,521,628 | ||||||||
|
| |||||||
| Thailand – 1.8% | ||||||||
| 256,200 | Airports of Thailand PCL (Transportation) | 2,787,290 | ||||||
| 7,862,100 | Beauty Community PCL (Retailing) | 2,555,860 | ||||||
| 501,600 | Kasikornbank PCL (Banks) | 2,462,784 | ||||||
| 3,405,200 | Thai Beverage PCL (Food, Beverage & Tobacco) | 2,360,562 | ||||||
|
| |||||||
| 10,166,496 | ||||||||
|
| |||||||
| Turkey – 0.9% | ||||||||
| 121,167 | BIM Birlesik Magazalar A/S (Food & Staples Retailing) | 1,975,276 | ||||||
| 326,830 | Cimsa Cimento Sanayi ve Ticaret A/S (Materials) | 1,624,469 | ||||||
| 229,812 | Ulker Biskuvi Sanayi A/S (Food, Beverage & Tobacco) | 1,427,007 | ||||||
|
| |||||||
| 5,026,752 | ||||||||
|
| |||||||
| United Arab Emirates – 0.7% | ||||||||
| 237,172 | NMC Health plc (Health Care Equipment & Services) | 4,241,261 | ||||||
|
| |||||||
| United Kingdom – 0.7% | ||||||||
| 192,554 | Weir Group plc (The) (Capital Goods) | 3,999,882 | ||||||
|
| |||||||
| United States – 3.6% | ||||||||
| 49,923 | Cognizant Technology Solutions Corp. Class A (Software & Services)* | 2,563,546 | ||||||
| 35,188 | Concho Resources, Inc. (Energy)* | 4,466,765 | ||||||
| 48,278 | EOG Resources, Inc. (Energy) | 4,365,297 | ||||||
| 27,845 | Pioneer Natural Resources Co. (Energy) | 4,984,812 | ||||||
| 1,182,000 | Samsonite International SA (Consumer Durables & Apparel) | 3,716,282 | ||||||
|
| |||||||
| 20,096,702 | ||||||||
|
| |||||||
| Vietnam – 0.7% | ||||||||
| 613,908 | Vietnam Dairy Products JSC (Food, Beverage & Tobacco) | 3,903,737 | ||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $485,215,511) | $ | 534,176,053 | ||||||
|
| |||||||
| 30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EMERGING MARKETS EQUITY FUND
Shares | Description | Rate | Value | |||||||
| Preferred Stocks – 3.4% | ||||||||||
| Brazil – 3.2% | ||||||||||
| 857,570 | Banco Bradesco SA (Banks) | 0.190 | % | $ | 8,984,067 | |||||
| 2,196,300 | Bradespar SA (Materials) | 0.409 | 8,931,069 | |||||||
|
| |||||||||
| 17,915,136 | ||||||||||
| ||||||||||
| Colombia – 0.2% | ||||||||||
| 2,832,071 | Grupo Aval Acciones y Valores SA (Banks) | 4.900 | 1,167,950 | |||||||
| ||||||||||
| TOTAL PREFERRED STOCKS | ||||||||||
| (Cost $14,438,739) | $ | 19,083,086 | ||||||||
| ||||||||||
| Shares | Distribution Rate | Value | ||||||
| Investment Company(b) (c) – 0.0% | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||||
| 50 | 0.296 | % | $ | 50 | ||||
| (Cost $50) | ||||||||
| ||||||||
| Units | Description | Expiration Month | Value | |||||||
| Participation Notes* – 1.3% | ||||||||||
| China – 0.8% | ||||||||||
| 194,989 | Hangzhou Robam Appliances Co. Ltd. (Consumer Durables & Apparel) | 10/17 | $ | 1,087,875 | ||||||
| 96,000 | Hangzhou Robam Appliances Co. Ltd. (Consumer Durables & Apparel) | 03/18 | 535,599 | |||||||
| 461,054 | Jiangsu Hengrui Medicine Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 03/17 | 3,137,031 | |||||||
|
| |||||||||
| 4,760,505 | ||||||||||
| ||||||||||
| Vietnam – 0.5% | ||||||||||
| 455,743 | Vietnam Dairy Products JSC (Diversified Financials) | 01/17 | 2,897,992 | |||||||
| ||||||||||
| TOTAL PARTICIPATION NOTES | ||||||||||
| (Cost $6,559,074) | $ | 7,658,497 | ||||||||
| ||||||||||
| TOTAL INVESTMENTS – 99.4% | ||||||||||
| (Cost $506,213,374) | $ | 560,917,686 | ||||||||
| ||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.6% |
| 3,142,127 | ||||||||
| ||||||||||
| NET ASSETS – 100.0% | $ | 564,059,813 | ||||||||
| ||||||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $14,900,540, which represents approximately 2.6% of net assets as of October 31, 2016. | |
(b) | Represents an affiliated issuer. | |
(c) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on October 31, 2016. | |
| ||
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
GDR | —Global Depositary Receipt | |
| ||
| The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS N-11 EQUITY FUND
Schedule of Investments
October 31, 2016
Shares | Description | Value | ||||||
| Common Stocks – 99.1% | ||||||||
| Bangladesh – 3.1% | ||||||||
| 1,329,500 | BRAC Bank Ltd. (Banks) | $ | 1,014,763 | |||||
| 188,000 | GrameenPhone Ltd. (Telecommunication Services) | 654,205 | ||||||
| 214,367 | Olympic Industries Ltd. (Food, Beverage & Tobacco) | 824,593 | ||||||
| 186,944 | Square Pharmaceuticals Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 637,672 | ||||||
|
| |||||||
| 3,131,233 | ||||||||
|
| |||||||
| Egypt – 6.0% | ||||||||
| 949,395 | Commercial International Bank Egypt SAE (Banks) | 5,523,430 | ||||||
| 181,908 | Integrated Diagnostics Holdings plc (Health Care Equipment & Services)(a) | 500,247 | ||||||
|
| |||||||
| 6,023,677 | ||||||||
|
| |||||||
| Indonesia – 17.5% | ||||||||
| 1,912,600 | Astra International Tbk. PT (Automobiles & Components) | 1,206,675 | ||||||
| 4,782,100 | Bank Central Asia Tbk. PT (Banks) | 5,685,657 | ||||||
| 954,300 | Bank Rakyat Indonesia Persero Tbk. PT (Banks) | 891,096 | ||||||
| 710,000 | Indocement Tunggal Prakarsa Tbk. PT (Materials) | 893,969 | ||||||
| 1,054,200 | Indofood CBP Sukses Makmur Tbk. PT (Food, Beverage & Tobacco) | 759,361 | ||||||
| 8,367,900 | Kalbe Farma Tbk. PT (Pharmaceuticals, Biotechnology & Life Sciences) | 1,115,028 | ||||||
| 1,036,900 | Matahari Department Store Tbk. PT (Retailing) | 1,429,950 | ||||||
| 823,600 | Semen Indonesia Persero Tbk. PT (Materials) | 620,798 | ||||||
| 7,475,100 | Summarecon Agung Tbk. PT (Real Estate) | 944,262 | ||||||
| 12,212,600 | Telekomunikasi Indonesia Persero Tbk. PT (Telecommunication Services) | 3,943,129 | ||||||
|
| |||||||
| 17,489,925 | ||||||||
|
| |||||||
| Mexico – 20.3% | ||||||||
| 790,300 | Alfa SAB de CV Class A (Capital Goods) | 1,198,349 | ||||||
| 705,927 | Alsea SAB de CV (Consumer Services) | 2,634,574 | ||||||
| 128,448 | America Movil SAB de CV Class L ADR (Telecommunication Services) | 1,687,807 | ||||||
| 221,100 | Banregio Grupo Financiero SAB de CV (Banks) | 1,448,655 | ||||||
| 853,100 | Bolsa Mexicana de Valores SAB de CV (Diversified Financials) | 1,366,693 | ||||||
| 91,000 | El Puerto de Liverpool SAB de CV (Retailing) | 953,861 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Mexico – (continued) | ||||||||
| 26,245 | Fomento Economico Mexicano SAB de CV ADR (Food, Beverage & Tobacco) | $ | 2,510,859 | |||||
| 490,182 | Gentera SAB de CV (Diversified Financials) | 967,345 | ||||||
| 58,231 | Grupo Aeroportuario del Sureste SAB de CV Class B (Transportation) | 926,194 | ||||||
| 161,300 | Grupo Financiero Banorte SAB de CV Class O (Banks) | 949,913 | ||||||
| 272,308 | Grupo Mexico SAB de CVSeries B (Materials) | 670,937 | ||||||
| 24,569 | Grupo Televisa SAB ADR (Media) | 602,677 | ||||||
| 664,085 | Unifin Financiera SAB de CV SOFOM ENR (Diversified Financials) | 1,980,204 | ||||||
| 1,119,524 | Wal-Mart de Mexico SAB de CV (Food & Staples Retailing) | 2,368,645 | ||||||
|
| |||||||
| 20,266,713 | ||||||||
|
| |||||||
| Pakistan – 6.1% | ||||||||
| 464,333 | Engro Corp. Ltd. (Materials) | 1,236,499 | ||||||
| 988,300 | Habib Bank Ltd. (Banks) | 2,108,534 | ||||||
| 457,500 | MCB Bank Ltd. (Banks) | 931,720 | ||||||
| 553,500 | Oil & Gas Development Co. Ltd. (Energy) | 740,079 | ||||||
| 579,600 | United Bank Ltd. (Banks) | 1,113,649 | ||||||
|
| |||||||
| 6,130,481 | ||||||||
|
| |||||||
| Philippines – 4.9% | ||||||||
| 65,630 | Ayala Corp. (Diversified Financials) | 1,131,474 | ||||||
| 2,415,100 | Ayala Land, Inc. (Real Estate) | 1,806,478 | ||||||
| 122,410 | Jollibee Foods Corp. (Consumer Services) | 601,160 | ||||||
| 307,118 | Metropolitan Bank & Trust Co. (Banks) | 515,769 | ||||||
| 179,940 | Pilipinas Shell Petroleum Corp. (Energy)* | 248,975 | ||||||
| 369,180 | Robinsons Retail Holdings, Inc. (Food & Staples Retailing) | 588,906 | ||||||
|
| |||||||
| 4,892,762 | ||||||||
|
| |||||||
| South Korea – 25.4% | ||||||||
| 1,283 | Amorepacific Corp. (Household & Personal Products) | 401,962 | ||||||
| 50,182 | Hana Financial Group, Inc. (Banks) | 1,435,315 | ||||||
| 8,428 | Hanssem Co. Ltd. (Consumer Durables & Apparel) | 1,305,291 | ||||||
| 1,506 | Hugel, Inc. (Pharmaceuticals, Biotechnology & Life Sciences)* | 450,955 | ||||||
| 52,607 | KB Financial Group, Inc. (Banks) | 1,947,343 | ||||||
| 1,999 | Korea Zinc Co. Ltd. (Materials) | 793,741 | ||||||
| 21,231 | Korean Air Lines Co. Ltd. (Transportation)* | 593,473 | ||||||
| 30,919 | KT Corp. (Telecommunication Services) | 872,216 | ||||||
| 6,716 | LG Chem Ltd. (Materials) | 1,442,462 | ||||||
| 1,674 | LG Household & Health Care Ltd. (Household & Personal Products) | 1,197,477 | ||||||
| 2,530 | NAVER Corp. (Software & Services) | 1,892,859 | ||||||
|
| |||||||
| 32 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS N-11 EQUITY FUND
Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| South Korea – (continued) | ||||||||
| 3,984 | NongShim Co. Ltd. (Food, Beverage & Tobacco) | $ | 1,002,528 | |||||
| 9,776 | Osstem Implant Co. Ltd. (Health Care Equipment & Services)* | 465,091 | ||||||
| 426 | Samsung Biologics Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)* | 50,632 | ||||||
| 5,124 | Samsung Electronics Co. Ltd. (Technology Hardware & Equipment) | 7,329,003 | ||||||
| 10,447 | Samsung Fire & Marine Insurance Co. Ltd. (Insurance) | 2,657,727 | ||||||
| 42,578 | SK Hynix, Inc. (Semiconductors & Semiconductor Equipment) | 1,522,872 | ||||||
|
| |||||||
| 25,360,947 | ||||||||
|
| |||||||
| Turkey – 11.5% | ||||||||
| 1,059,722 | Akbank TAS (Banks) | 2,835,985 | ||||||
| 177,362 | Aygaz A/S (Utilities) | 626,769 | ||||||
| 153,776 | BIM Birlesik Magazalar A/S (Food & Staples Retailing) | 2,506,872 | ||||||
| 73,540 | Cimsa Cimento Sanayi ve Ticaret A/S (Materials) | 365,522 | ||||||
| 515,314 | Soda Sanayii A/S (Materials) | 715,949 | ||||||
| 691,460 | Turkiye Garanti Bankasi A/S (Banks) | 1,881,558 | ||||||
| 1,809,275 | Turkiye Sinai Kalkinma Bankasi A/S (Banks) | 801,949 | ||||||
| 280,778 | Ulker Biskuvi Sanayi A/S (Food, Beverage & Tobacco) | 1,743,477 | ||||||
|
| |||||||
| 11,478,081 | ||||||||
|
| |||||||
| Vietnam – 4.3% | ||||||||
| 779,538 | Bank for Foreign Trade of Vietnam JSC (Banks) | 1,255,772 | ||||||
| 176,220 | Masan Group Corp. (Food, Beverage & Tobacco)* | 518,210 | ||||||
| 63,556 | Saigon Thuong Tin Commercial JSB (Banks)* | 25,112 | ||||||
| 299,510 | Vietnam Dairy Products JSC (Food, Beverage & Tobacco) | 1,904,533 | ||||||
| 321,958 | Vingroup JSC (Real Estate)* | 612,965 | ||||||
|
| |||||||
| 4,316,592 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $85,636,448) | $ | 99,090,411 | ||||||
|
| |||||||
| Exchange Traded Fund – 0.4% | ||||||||
| United States – 0.4% | ||||||||
| 7,629 | iShares MSCI South Korea Capped Fund | $ | 422,265 | |||||
| (Cost $382,823) | ||||||||
|
| |||||||
| Units | Description | Expiration Month | Value | |||||||
| Participation Note* – 0.3% | ||||||||||
| Vietnam – 0.3% | ||||||||||
| 40,040 | Vietnam Dairy Products JSC (Food, Beverage & Tobacco) | 01/17 | $ | 254,608 | ||||||
| (Cost $153,389) | ||||||||||
| ||||||||||
| TOTAL INVESTMENTS – 99.8% | ||||||||||
| (Cost $86,172,660) | $ | 99,767,284 | ||||||||
| ||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.2% |
| 223,309 | ||||||||
| ||||||||||
| NET ASSETS – 100.0% | $ | 99,990,593 | ||||||||
| ||||||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $500,247, which represents approximately 0.5% of net assets as of October 31, 2016. | |
| ||
Investment Abbreviation: | ||
| ADR | —American Depositary Receipt | |
| ||
| The accompanying notes are an integral part of these financial statements. | 33 |
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Statements of Assets and Liabilities
October 31, 2016
Asia Equity Fund | Emerging Markets Equity Fund | N-11 Equity Fund | ||||||||||||
| Assets: | ||||||||||||||
Investments in unaffiliated issuers, at value (cost $69,601,460, $506,213,324 and $86,172,660) | $ | 72,473,451 | $ | 560,917,636 | $ | 99,767,284 | ||||||||
Investments in affiliated issuers, at value (cost $759,355, $50 and $0) | 759,355 | 50 | — | |||||||||||
Cash | 1,165,279 | 6,137,713 | 510,446 | |||||||||||
Foreign currencies, at value (cost $20,444, $316,370 and $621,444 ) | 20,040 | 316,027 | 621,296 | |||||||||||
Receivables: | ||||||||||||||
Investments sold | 436,318 | 406,682 | — | |||||||||||
Reimbursement from investment adviser | 38,566 | — | 832 | |||||||||||
Dividends | 29,311 | 417,734 | 150,660 | |||||||||||
Foreign tax reclaims | 21,890 | 30,121 | — | |||||||||||
Fund shares sold | 278 | 1,145,091 | 13,380 | |||||||||||
Other assets | 7,547 | 366 | 103 | |||||||||||
| Total assets | 74,952,035 | 569,371,420 | 101,064,001 | |||||||||||
| Liabilities: | ||||||||||||||
Payables: | ||||||||||||||
Investments purchased | 1,436,446 | 2,686,168 | 302,603 | |||||||||||
Foreign capital gains taxes | 313,142 | 295,084 | 169,424 | |||||||||||
Management fees | 63,118 | 514,337 | 98,093 | |||||||||||
Fund shares redeemed | 24,775 | 1,272,139 | 112,552 | |||||||||||
Distribution and Service fees and Transfer Agency fees | 9,562 | 77,634 | 19,537 | |||||||||||
Accrued expenses | 186,810 | 466,245 | 371,199 | |||||||||||
| Total liabilities | 2,033,853 | 5,311,607 | 1,073,408 | |||||||||||
| Net Assets: | ||||||||||||||
Paid-in capital | 79,372,643 | 1,001,915,056 | 156,148,816 | |||||||||||
Undistributed (distributions in excess of) net investment income | — | 1,398,981 | (300 | ) | ||||||||||
Accumulated net realized loss | (9,043,372 | ) | (493,478,426 | ) | (69,759,131 | ) | ||||||||
Net unrealized gain | 2,588,911 | 54,224,202 | 13,601,208 | |||||||||||
| NET ASSETS | $ | 72,918,182 | $ | 564,059,813 | $ | 99,990,593 | ||||||||
Net Assets: | ||||||||||||||
Class A | $ | 14,974,662 | $ | 59,593,165 | $ | 25,954,528 | ||||||||
Class C | 1,809,776 | 30,103,874 | 5,642,127 | |||||||||||
Institutional | 56,076,621 | 445,018,845 | 58,957,977 | |||||||||||
Service | — | 19,068,661 | — | |||||||||||
Class IR | 57,123 | 5,263,057 | 9,435,961 | |||||||||||
Class R6 | — | 5,012,211 | — | |||||||||||
Total Net Assets | $ | 72,918,182 | $ | 564,059,813 | $ | 99,990,593 | ||||||||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||||||||||||
Class A | 710,460 | 3,672,409 | 2,890,802 | |||||||||||
Class C | 93,259 | 2,071,844 | 651,429 | |||||||||||
Institutional | 2,526,542 | 25,609,961 | 6,534,628 | |||||||||||
Service | — | 1,214,079 | — | |||||||||||
Class IR | 2,582 | 304,735 | 1,048,421 | |||||||||||
Class R6 | — | 288,389 | — | |||||||||||
Net asset value, offering and redemption price per share:(a) | ||||||||||||||
Class A | $21.08 | $16.23 | $8.98 | |||||||||||
Class C | 19.41 | 14.53 | 8.66 | |||||||||||
Institutional | 22.20 | 17.38 | 9.02 | |||||||||||
Service | — | 15.71 | — | |||||||||||
Class IR | 22.12 | 17.27 | 9.00 | |||||||||||
Class R6 | — | 17.38 | — | |||||||||||
| (a) | Maximum public offering price per share for Class A Shares of the Asia Equity, Emerging Markets Equity and N-11 Equity Funds is $22.31, $17.17 and $9.50, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge assessed on the amount equal to the lesser of the current NAV or the original purchase price of the shares. |
| 34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Statements of Operations
For the Fiscal Year Ended October 31, 2016
Asia Equity Fund | Emerging Markets Equity Fund | N-11 Equity Fund | ||||||||||||
| Investment income: | ||||||||||||||
Dividends — unaffiliated issuers (net of foreign taxes withheld of $110,783, $732,257 and $372,688) | $ | 1,101,712 | $ | 9,269,029 | $ | 3,079,577 | ||||||||
Dividends — affiliated issuers | 68 | 136 | — | |||||||||||
| Total investment income | 1,101,780 | 9,269,165 | 3,079,577 | |||||||||||
| Expenses: | ||||||||||||||
Management fees | 725,606 | 5,739,521 | 1,663,760 | |||||||||||
Custody, accounting and administrative services | 273,636 | 761,537 | 502,808 | |||||||||||
Professional fees | 102,329 | 102,263 | 184,968 | |||||||||||
Registration fees | 67,198 | 97,953 | 56,362 | |||||||||||
Distribution and Service fees(a) | 56,377 | 454,241 | 151,124 | |||||||||||
Transfer Agency fees(a) | 54,712 | 328,191 | 126,906 | |||||||||||
Printing and mailing costs | 33,079 | 181,199 | 56,138 | |||||||||||
Trustee fees | 20,160 | 15,883 | 20,344 | |||||||||||
Service share fees — Service Plan | — | 39,985 | — | |||||||||||
Service share fees — Shareholder Administration Plan | — | 39,985 | — | |||||||||||
Other | 39,408 | 65,475 | 13,645 | |||||||||||
| Total expenses | 1,372,505 | 7,826,233 | 2,776,055 | |||||||||||
Less — expense reductions | (422,076 | ) | (1,162,280 | ) | (842,479 | ) | ||||||||
| Net expenses | 950,429 | 6,663,953 | 1,933,576 | |||||||||||
| NET INVESTMENT INCOME | 151,351 | 2,605,212 | 1,146,001 | |||||||||||
| Realized and unrealized gain (loss): | ||||||||||||||
Net realized gain (loss) from: | ||||||||||||||
Investments | (1,067,329 | ) | (4,919,742 | ) | (14,422,024 | ) | ||||||||
Futures contracts | — | (77,623 | ) | — | ||||||||||
Foreign currency transactions | (92,210 | ) | (716,627 | ) | (4,574,032 | ) | ||||||||
Net change in unrealized gain (loss) on: | ||||||||||||||
Investments (including the effects of the net change in the foreign capital gains tax liability of $216,102, $167,285 and $143,023) | 3,842,683 | 51,749,744 | 10,155,560 | |||||||||||
Foreign currency translation | 84,878 | 257,044 | 206,662 | |||||||||||
| Net realized and unrealized gain (loss) | 2,768,022 | 46,292,796 | (8,633,834 | ) | ||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 2,919,373 | $ | 48,898,008 | $ | (7,487,833 | ) | |||||||
| (a) | Class specific Distribution and Service, and Transfer Agency fees were as follows: |
| Distribution and Service Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||
Fund | Class A | Class C | Class A | Class C | Institutional | Service | Class IR | Class R6 | ||||||||||||||||||||||||
Asia Equity | $ | 38,109 | $ | 18,268 | $ | 28,963 | $ | 3,471 | $ | 22,174 | $ | — | $ | 104 | $ | — | ||||||||||||||||
Emerging Markets Equity | 145,427 | 308,814 | 110,525 | 58,675 | 147,773 | 6,398 | 4,534 | 286 | ||||||||||||||||||||||||
N-11 Equity | 82,929 | 68,195 | 63,026 | 12,957 | 31,003 | — | 19,920 | — | ||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 35 |
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Statements of Changes in Net Assets
October 31, 2016
| Asia Equity Fund | ||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||
| From operations: | ||||||||||
Net investment income | $ | 151,351 | $ | 89,404 | ||||||
Net realized gain (loss) | (1,159,539 | ) | 3,089,222 | |||||||
Net change in unrealized gain (loss) | 3,927,561 | (2,442,214 | ) | |||||||
| Net increase (decrease) in net assets resulting from operations | 2,919,373 | 736,412 | ||||||||
| Distributions to shareholders: | ||||||||||
From net investment income | ||||||||||
Class A Shares | — | — | ||||||||
Institutional Shares | — | (192,643 | ) | |||||||
Class IR Shares | — | (134 | ) | |||||||
Class R6 Shares | — | — | ||||||||
| Total distributions to shareholders | — | (192,777 | ) | |||||||
| From share transactions: | ||||||||||
Proceeds from sales of shares | 2,291,976 | 8,571,414 | ||||||||
Proceeds received in connection with merger | — | — | ||||||||
Reinvestment of distributions | — | 191,574 | ||||||||
Cost of shares redeemed | (9,572,257 | ) | (11,155,431 | ) | ||||||
| Net increase (decrease) in net assets resulting from share transactions | (7,280,281 | ) | (2,392,443 | ) | ||||||
| TOTAL INCREASE (DECREASE) | (4,360,908 | ) | (1,848,808 | ) | ||||||
| Net assets: | ||||||||||
Beginning of year | 77,279,090 | 79,127,898 | ||||||||
End of year | $ | 72,918,182 | $ | 77,279,090 | ||||||
| Undistributed (distributions in excess of) net investment income | $ | — | $ | (102,310 | ) | |||||
| 36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
| Emerging Markets Equity Fund | N-11 Equity Fund | |||||||||||||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||||||||||||
| $ | 2,605,212 | $ | 1,393,435 | $ | 1,146,001 | $ | 2,148,057 | |||||||||||||||
| (5,713,992 | ) | 2,172,377 | (18,996,056 | ) | (40,015,173 | ) | ||||||||||||||||
| 52,006,788 | (31,224,649 | ) | 10,362,222 | (31,329,806 | ) | |||||||||||||||||
| 48,898,008 | (27,658,837 | ) | (7,487,833 | ) | (69,196,922 | ) | ||||||||||||||||
| — | — | (67,836 | ) | (5,746 | ) | |||||||||||||||||
| (356,614 | ) | (949,860 | ) | (833,232 | ) | (1,254,995 | ) | |||||||||||||||
| (1,110 | ) | (472 | ) | (71,347 | ) | (73,277 | ) | |||||||||||||||
| (11 | ) | — | — | — | ||||||||||||||||||
| (357,735 | ) | (950,332 | ) | (972,415 | ) | (1,334,018 | ) | |||||||||||||||
| 299,541,097 | 185,526,680 | 12,450,719 | 59,598,379 | |||||||||||||||||||
| — | 103,215,861 | — | — | |||||||||||||||||||
| 350,863 | 866,901 | 913,483 | 1,139,428 | |||||||||||||||||||
| (227,728,697 | ) | (178,691,818 | ) | (95,713,670 | ) | (248,502,383 | ) | |||||||||||||||
| 72,163,263 | 110,917,624 | (82,349,468 | ) | (187,764,576 | ) | |||||||||||||||||
| 120,703,536 | 82,308,455 | (90,809,716 | ) | (258,295,516 | ) | |||||||||||||||||
| 443,356,277 | 361,047,822 | 190,800,309 | 449,095,825 | |||||||||||||||||||
| $ | 564,059,813 | $ | 443,356,277 | $ | 99,990,593 | $ | 190,800,309 | |||||||||||||||
| $ | 1,398,981 | $ | 355,885 | $ | (300 | ) | $ | 750,637 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS ASIA EQUITY FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from investment operations | ||||||||||||||||||||||
| Year - Share Class | Net asset value, beginning of year | Net investment income (loss)(a) | Net realized and unrealized gain | Total from investment operations | Distributions to shareholders from net investment income | |||||||||||||||||
| FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||
2016 - A | $ | 20.28 | $ | (0.02 | ) | $ | 0.82 | $ | 0.80 | $ | — | |||||||||||
2016 - C | 18.81 | (0.15 | ) | 0.75 | 0.60 | — | ||||||||||||||||
2016 - Institutional | 21.27 | 0.07 | 0.86 | 0.93 | — | |||||||||||||||||
2016 - IR | 21.23 | 0.06 | 0.83 | 0.89 | — | |||||||||||||||||
2015 - A | 20.04 | (0.03 | ) | 0.27 | 0.24 | — | ||||||||||||||||
2015 - C | 18.73 | (0.18 | ) | 0.26 | 0.08 | — | ||||||||||||||||
2015 - Institutional | 20.99 | 0.05 | 0.29 | 0.34 | (0.06 | ) | ||||||||||||||||
2015 - IR | 20.98 | 0.01 | 0.29 | 0.30 | (0.05 | ) | ||||||||||||||||
2014 - A | 19.21 | — | (d)(e) | 0.91 | 0.91 | (0.08 | ) | |||||||||||||||
2014 - C | 18.02 | (0.13 | )(e) | 0.84 | 0.71 | — | ||||||||||||||||
2014 - Institutional | 20.13 | 0.12 | (e) | 0.90 | 1.02 | (0.16 | ) | |||||||||||||||
2014 - IR (Commenced February 28, 2014) | 20.71 | 0.06 | (e) | 0.21 | 0.27 | — | ||||||||||||||||
2013 - A | 17.78 | 0.04 | 1.51 | 1.55 | (0.12 | ) | ||||||||||||||||
2013 - C | 16.77 | (0.10 | ) | 1.43 | 1.33 | (0.08 | ) | |||||||||||||||
2013 - Institutional | 18.71 | 0.12 | 1.58 | 1.70 | (0.28 | ) | ||||||||||||||||
2012 - A | 17.33 | 0.11 | 0.41 | 0.52 | (0.07 | ) | ||||||||||||||||
2012 - C | 16.39 | (0.03 | ) | 0.41 | 0.38 | — | ||||||||||||||||
2012 - Institutional | 18.24 | 0.19 | 0.43 | 0.62 | (0.15 | ) | ||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (d) | Amount is less than $0.005 per share. |
| (e) | Reflects income recognized from special dividends which amounted to $0.05 per share and 0.25% of average net assets. |
| (f) | Annualized. |
| 38 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ASIA EQUITY FUND
| Net asset value, end of year | Total return(b) | Net assets, end of year (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income (loss) to average net assets | Portfolio turnover rate(c) | ||||||||||||||||||||||||||||||||||
| $ | 21.08 | 3.93 | % | $ | 14,975 | 1.60 | % | 2.18 | % | (0.08 | )% | 111 | % | |||||||||||||||||||||||||||
| 19.41 | 3.18 | 1,810 | 2.35 | 2.93 | (0.83 | ) | 111 | |||||||||||||||||||||||||||||||||
| 22.20 | 4.31 | 56,077 | 1.20 | 1.78 | 0.32 | 111 | ||||||||||||||||||||||||||||||||||
| 22.12 | 4.18 | 57 | 1.34 | 1.93 | 0.27 | 111 | ||||||||||||||||||||||||||||||||||
| 20.28 | 1.20 | 16,310 | 1.69 | 1.99 | (0.16 | ) | 153 | |||||||||||||||||||||||||||||||||
| 18.81 | 0.43 | 1,951 | 2.44 | 2.76 | (0.91 | ) | 153 | |||||||||||||||||||||||||||||||||
| 21.27 | 1.60 | 58,967 | 1.29 | 1.61 | 0.21 | 153 | ||||||||||||||||||||||||||||||||||
| 21.23 | 1.46 | 52 | 1.44 | 1.75 | 0.06 | 153 | ||||||||||||||||||||||||||||||||||
| 20.04 | 4.75 | 13,711 | 1.73 | 2.24 | 0.02 | (e) | 169 | |||||||||||||||||||||||||||||||||
| 18.73 | 4.00 | 2,114 | 2.48 | 3.00 | (0.71 | )(e) | 169 | |||||||||||||||||||||||||||||||||
| 20.99 | 5.15 | 62,951 | 1.32 | 1.87 | 0.59 | (e) | 169 | |||||||||||||||||||||||||||||||||
| 20.98 | 1.30 | 51 | 1.43 | (f) | 2.06 | (f) | 0.41 | (e)(f) | 169 | |||||||||||||||||||||||||||||||
| 19.21 | 8.72 | 14,097 | 1.72 | 2.25 | 0.21 | 102 | ||||||||||||||||||||||||||||||||||
| 18.02 | 7.87 | 2,331 | 2.47 | 2.99 | (0.56 | ) | 102 | |||||||||||||||||||||||||||||||||
| 20.13 | 9.16 | 43,208 | 1.32 | 1.85 | 0.62 | 102 | ||||||||||||||||||||||||||||||||||
| 17.78 | 3.05 | 15,136 | 1.60 | 2.24 | 0.66 | 83 | ||||||||||||||||||||||||||||||||||
| 16.77 | 2.31 | 2,684 | 2.35 | 2.97 | (0.18 | ) | 83 | |||||||||||||||||||||||||||||||||
| 18.71 | 3.50 | 44,345 | 1.20 | 1.79 | 1.03 | 83 | ||||||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS EMERGING MARKETS EQUITY FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from investment operations | ||||||||||||||||||||||
| Year - Share Class | Net asset value, beginning of year | Net investment income (loss)(a) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions to shareholders from net investment income | |||||||||||||||||
| FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||
2016 - A | $ | 14.75 | $ | 0.04 | $ | 1.44 | $ | 1.48 | $ | — | ||||||||||||
2016 - C | 13.31 | (0.06 | ) | 1.28 | 1.22 | — | ||||||||||||||||
2016 - Institutional | 15.75 | 0.11 | 1.54 | 1.65 | (0.02 | ) | ||||||||||||||||
2016 - Service | 14.29 | 0.02 | 1.40 | 1.42 | — | |||||||||||||||||
2016 - IR | 15.67 | 0.08 | 1.53 | 1.61 | (0.01 | ) | ||||||||||||||||
2016 - R6 | 15.74 | 0.10 | 1.56 | 1.66 | (0.02 | ) | ||||||||||||||||
2015 - A | 16.00 | 0.03 | (1.28 | ) | (1.25 | ) | — | |||||||||||||||
2015 - C | 14.55 | (0.10 | ) | (1.14 | ) | (1.24 | ) | — | ||||||||||||||
2015 - Institutional | 17.08 | 0.08 | (1.36 | ) | (1.28 | ) | (0.05 | ) | ||||||||||||||
2015 - Service | 15.52 | — | (d) | (1.23 | ) | (1.23 | ) | — | ||||||||||||||
2015 - IR | 16.99 | 0.01 | (1.30 | ) | (1.29 | ) | (0.03 | ) | ||||||||||||||
2015 - R6 (Commenced July 31, 2015) | 16.72 | 0.01 | (0.99 | ) | (0.98 | ) | — | |||||||||||||||
2014 - A | 15.20 | 0.03 | 0.83 | 0.86 | (0.06 | ) | ||||||||||||||||
2014 - C | 13.87 | (0.08 | ) | 0.76 | 0.68 | — | ||||||||||||||||
2014 - Institutional | 16.22 | 0.10 | 0.88 | 0.98 | (0.12 | ) | ||||||||||||||||
2014 - Service | 14.74 | 0.02 | 0.80 | 0.82 | (0.04 | ) | ||||||||||||||||
2014 - IR | 16.14 | 0.08 | 0.87 | 0.95 | (0.10 | ) | ||||||||||||||||
2013 - A | 14.68 | 0.05 | 0.54 | 0.59 | (0.07 | ) | ||||||||||||||||
2013 - C | 13.42 | (0.06 | ) | 0.51 | 0.45 | — | ||||||||||||||||
2013 - Institutional | 15.65 | 0.13 | 0.58 | 0.71 | (0.14 | ) | ||||||||||||||||
2013 - Service | 14.24 | 0.04 | 0.53 | 0.57 | (0.07 | ) | ||||||||||||||||
2013 - IR | 15.58 | 0.10 | 0.58 | 0.68 | (0.12 | ) | ||||||||||||||||
2012 - A | 14.66 | 0.06 | (0.04 | ) | 0.02 | — | ||||||||||||||||
2012 - C | 13.51 | (0.05 | ) | (0.04 | ) | (0.09 | ) | — | ||||||||||||||
2012 - Institutional | 15.63 | 0.12 | (0.05 | ) | 0.07 | (0.05 | ) | |||||||||||||||
2012 - Service | 14.24 | 0.05 | (0.05 | ) | — | (d) | — | |||||||||||||||
2012 - IR | 15.59 | 0.12 | (0.07 | ) | 0.05 | (0.06 | ) | |||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (d) | Amount is less than $0.005 per share. |
| (e) | Annualized. |
| 40 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EMERGING MARKETS EQUITY FUND
| Net asset value, end of year | Total return(b) | Net assets, end of year (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net assets | Portfolio turnover rate(c) | ||||||||||||||||||||||||||||||||||
| $ | 16.23 | 10.01 | % | $ | 59,593 | 1.65 | % | 1.90 | % | 0.27 | % | 92 | % | |||||||||||||||||||||||||||
| 14.53 | 9.14 | 30,104 | 2.40 | 2.65 | (0.48 | ) | 92 | |||||||||||||||||||||||||||||||||
| 17.38 | 10.43 | 445,019 | 1.25 | 1.50 | 0.69 | 92 | ||||||||||||||||||||||||||||||||||
| 15.71 | 9.91 | 19,069 | 1.75 | 2.00 | 0.17 | 92 | ||||||||||||||||||||||||||||||||||
| 17.27 | 10.26 | 5,263 | 1.40 | 1.64 | 0.52 | 92 | ||||||||||||||||||||||||||||||||||
| 17.38 | 10.52 | 5,012 | 1.23 | 1.44 | 0.57 | 92 | ||||||||||||||||||||||||||||||||||
| 14.75 | (7.81 | ) | 64,169 | 1.67 | 1.91 | 0.17 | 118 | |||||||||||||||||||||||||||||||||
| 13.31 | (8.52 | ) | 35,927 | 2.41 | 2.67 | (0.68 | ) | 118 | ||||||||||||||||||||||||||||||||
| 15.75 | (7.49 | ) | 326,068 | 1.28 | 1.52 | 0.48 | 118 | |||||||||||||||||||||||||||||||||
| 14.29 | (7.93 | ) | 15,759 | 1.77 | 2.02 | 0.02 | 118 | |||||||||||||||||||||||||||||||||
| 15.67 | (7.62 | ) | 1,424 | 1.42 | 1.69 | 0.04 | 118 | |||||||||||||||||||||||||||||||||
| 15.74 | (5.86 | ) | 9 | 1.24 | (e) | 1.53 | (e) | 0.14 | (e) | 118 | ||||||||||||||||||||||||||||||
| 16.00 | 5.67 | 28,157 | 1.70 | 1.93 | 0.19 | 114 | ||||||||||||||||||||||||||||||||||
| 14.55 | 4.90 | 11,217 | 2.46 | 2.68 | (0.55 | ) | 114 | |||||||||||||||||||||||||||||||||
| 17.08 | 6.17 | 303,676 | 1.30 | 1.53 | 0.58 | 114 | ||||||||||||||||||||||||||||||||||
| 15.52 | 5.55 | 15,919 | 1.81 | 2.03 | 0.11 | 114 | ||||||||||||||||||||||||||||||||||
| 16.99 | 5.93 | 313 | 1.46 | 1.68 | 0.46 | 114 | ||||||||||||||||||||||||||||||||||
| 15.20 | 4.04 | 36,578 | 1.73 | 1.89 | 0.32 | 159 | ||||||||||||||||||||||||||||||||||
| 13.87 | 3.35 | 11,869 | 2.48 | 2.64 | (0.44 | ) | 159 | |||||||||||||||||||||||||||||||||
| 16.22 | 4.49 | 388,046 | 1.33 | 1.49 | 0.80 | 159 | ||||||||||||||||||||||||||||||||||
| 14.74 | 4.02 | 14,584 | 1.83 | 1.99 | 0.25 | 159 | ||||||||||||||||||||||||||||||||||
| 16.14 | 4.37 | 329 | 1.48 | 1.64 | 0.62 | 159 | ||||||||||||||||||||||||||||||||||
| 14.68 | 0.14 | 38,889 | 1.82 | 1.94 | 0.39 | 119 | ||||||||||||||||||||||||||||||||||
| 13.42 | (0.66 | ) | 15,418 | 2.57 | 2.69 | (0.35 | ) | 119 | ||||||||||||||||||||||||||||||||
| 15.65 | 0.49 | 310,167 | 1.41 | 1.54 | 0.80 | 119 | ||||||||||||||||||||||||||||||||||
| 14.24 | 0.00 | 15,446 | 1.91 | 2.03 | 0.36 | 119 | ||||||||||||||||||||||||||||||||||
| 15.58 | 0.35 | 240 | 1.55 | 1.68 | 0.78 | 119 | ||||||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 41 |
GOLDMAN SACHS N-11 EQUITY FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from investment operations | ||||||||||||||||||||||
| Year - Share Class | Net asset value, beginning of year | Net investment income (loss)(a) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions to shareholders from net investment income | |||||||||||||||||
| FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||
2016 - A | $ | 9.26 | $ | 0.06 | $ | (0.32 | ) | $ | (0.26 | ) | $ | (0.02 | ) | |||||||||
2016 - C | 8.98 | (0.01 | ) | (0.31 | ) | (0.32 | ) | — | ||||||||||||||
2016 - Institutional | 9.33 | 0.10 | (0.33 | ) | (0.23 | ) | (0.08 | ) | ||||||||||||||
2016 - IR | 9.30 | 0.08 | (0.32 | ) | (0.24 | ) | (0.06 | ) | ||||||||||||||
2015 - A | 11.25 | 0.04 | (2.03 | ) | (1.99 | ) | — | (d) | ||||||||||||||
2015 - C | 10.99 | (0.04 | ) | (1.97 | ) | (2.01 | ) | — | ||||||||||||||
2015 - Institutional | 11.34 | 0.08 | (2.04 | ) | (1.96 | ) | (0.05 | ) | ||||||||||||||
2015 - IR | 11.30 | 0.06 | (2.03 | ) | (1.97 | ) | (0.03 | ) | ||||||||||||||
2014 - A | 11.03 | 0.02 | 0.26 | 0.28 | (0.06 | ) | ||||||||||||||||
2014 - C | 10.81 | (0.06 | ) | 0.25 | 0.19 | (0.01 | ) | |||||||||||||||
2014 - Institutional | 11.12 | 0.06 | 0.26 | 0.32 | (0.10 | ) | ||||||||||||||||
2014 - IR | 11.08 | 0.05 | 0.25 | 0.30 | (0.08 | ) | ||||||||||||||||
2013 - A | 10.38 | 0.01 | 0.65 | 0.66 | (0.01 | ) | ||||||||||||||||
2013 - C | 10.25 | (0.07 | ) | 0.63 | 0.56 | — | ||||||||||||||||
2013 - Institutional | 10.45 | 0.05 | 0.65 | 0.70 | (0.03 | ) | ||||||||||||||||
2013 - IR | 10.42 | 0.03 | 0.65 | 0.68 | (0.02 | ) | ||||||||||||||||
2012 - A | 9.57 | 0.01 | 0.80 | 0.81 | — | |||||||||||||||||
2012 - C | 9.52 | (0.06 | ) | 0.79 | 0.73 | — | ||||||||||||||||
2012 - Institutional | 9.60 | 0.05 | 0.80 | 0.85 | — | |||||||||||||||||
2012 - IR | 9.59 | 0.02 | 0.81 | 0.83 | — | |||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| (c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (d) | Amount is less than $0.005 per share. |
| 42 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS N-11 EQUITY FUND
| Net asset value, end of year | Total return(b) | Net assets, end of year (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net assets | Portfolio turnover rate(c) | ||||||||||||||||||||||||||||||||||
| $ | 8.98 | (2.84 | )% | $ | 25,955 | 1.74 | % | 2.39 | % | 0.66 | % | 27 | % | |||||||||||||||||||||||||||
| 8.66 | (3.55 | ) | 5,642 | 2.49 | 3.14 | (0.07 | ) | 27 | ||||||||||||||||||||||||||||||||
| 9.02 | (2.46 | ) | 58,958 | 1.33 | 1.99 | 1.08 | 27 | |||||||||||||||||||||||||||||||||
| 9.00 | (2.59 | ) | 9,436 | 1.48 | 2.14 | 0.90 | 27 | |||||||||||||||||||||||||||||||||
| 9.26 | (17.68 | ) | 54,045 | 1.73 | 2.07 | 0.35 | 48 | |||||||||||||||||||||||||||||||||
| 8.98 | (18.29 | ) | 8,564 | 2.48 | 2.82 | (0.41 | ) | 48 | ||||||||||||||||||||||||||||||||
| 9.33 | (17.34 | ) | 115,099 | 1.33 | 1.68 | 0.78 | 48 | |||||||||||||||||||||||||||||||||
| 9.30 | (17.45 | ) | 13,092 | 1.48 | 1.82 | 0.59 | 48 | |||||||||||||||||||||||||||||||||
| 11.25 | 2.54 | 96,440 | 1.74 | 2.08 | 0.20 | 41 | ||||||||||||||||||||||||||||||||||
| 10.99 | 1.76 | 15,127 | 2.49 | 2.83 | (0.54 | ) | 41 | �� | ||||||||||||||||||||||||||||||||
| 11.34 | 2.88 | 310,186 | 1.34 | 1.68 | 0.57 | 41 | ||||||||||||||||||||||||||||||||||
| 11.30 | 2.76 | 27,343 | 1.49 | 1.82 | 0.44 | 41 | ||||||||||||||||||||||||||||||||||
| 11.03 | 6.31 | 114,658 | 1.74 | 2.12 | 0.07 | 53 | ||||||||||||||||||||||||||||||||||
| 10.81 | 5.46 | 19,018 | 2.49 | 2.87 | (0.66 | ) | 53 | |||||||||||||||||||||||||||||||||
| 11.12 | 6.73 | 308,502 | 1.35 | 1.72 | 0.44 | 53 | ||||||||||||||||||||||||||||||||||
| 11.08 | 6.48 | 36,429 | 1.49 | 1.87 | 0.26 | 53 | ||||||||||||||||||||||||||||||||||
| 10.38 | 8.33 | 35,417 | 1.79 | 2.35 | 0.09 | 90 | ||||||||||||||||||||||||||||||||||
| 10.25 | 7.53 | 6,720 | 2.54 | 3.12 | (0.57 | ) | 90 | |||||||||||||||||||||||||||||||||
| 10.45 | 8.83 | 111,826 | 1.39 | 1.94 | 0.52 | 90 | ||||||||||||||||||||||||||||||||||
| 10.42 | 8.73 | 9,500 | 1.54 | 2.05 | 0.22 | 90 | ||||||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 43 |
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Notes to Financial Statements
October 31, 2016
| 1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
| Fund | Share Classes Offered | Diversified/ Non-diversified | ||
Asia Equity | A, C, Institutional and IR | Diversified | ||
Emerging Markets Equity | A, C, Institutional, Service, IR and R6 | Diversified | ||
N-11 Equity | A, C, Institutional and IR | Non-diversified |
Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Service, Class IR and Class R6 Shares are not subject to a sales charge.
Goldman Sachs Asset Management International (“GSAMI”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to a management agreement (the “Agreement”) with the Trust.
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.
A. Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income, net of any foreign withholding taxes, less any amounts reclaimable, and securities lending income. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees.
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually.
44
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. Foreign Currency Translation — The accounting records and reporting currency of the Funds are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statements of Operations within net change in unrealized gain (loss) on foreign currency translations. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAMI’s assumptions in determining fair value measurement).
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Funds’ policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAMI day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ portfolio investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAMI regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
45
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAMI to not represent fair value, equity securities are valued at the last bid price for long positions and at the last ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
Underlying Funds (including Money Market Funds) — Underlying Funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share of the Institutional Share class on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Funds invest in Underlying Funds that fluctuate in value, the Funds’ shares will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Funds enter into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers.
Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or settlement price and typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
46
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAMI believes that such quotations do not accurately reflect fair value, the fair value of the Funds’ investments may be determined under Valuation Procedures approved by the Trustees. GSAMI, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.
C. Fair Value Hierarchy — The following is a summary of the Funds’ investments classified in the fair value hierarchy as of October 31, 2016:
| ASIA EQUITY | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | 5,151,295 | $ | 67,116,807 | $ | — | ||||||
North America | 205,349 | — | — | |||||||||
Investment Company | 759,355 | — | — | |||||||||
| Total | $ | 6,115,999 | $ | 67,116,807 | $ | — | ||||||
| EMERGING MARKETS EQUITY | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Africa | $ | — | $ | 19,006,398 | $ | — | ||||||
Asia | 33,100,824 | 366,753,667 | — | |||||||||
Europe | — | 34,436,979 | — | |||||||||
North America | 37,149,579 | 3,716,282 | — | |||||||||
South America | 47,670,821 | 19,083,086 | — | |||||||||
Investment Company | 50 | — | — | |||||||||
| Total | $ | 117,921,274 | $ | 442,996,412 | $ | — | ||||||
47
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| N-11 EQUITY | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Africa | $ | — | $ | 6,023,677 | $ | — | ||||||
Asia | — | 73,054,629 | — | |||||||||
North America | 20,266,713 | — | — | |||||||||
Exchange Traded Fund | 422,265 | — | — | |||||||||
| Total | $ | 20,688,978 | $ | 79,078,306 | $ | — | ||||||
| (a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile noted in the table. The Funds utilize fair value model prices provided by an independent fair value service for certain international equity securities, resulting in a Level 2 classification. |
For further information regarding security characteristics, see the Schedules of Investments.
| 4. INVESTMENTS IN DERIVATIVES |
The following table sets forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended October 31, 2016. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:
| Fund | Risk | Statements of Operations | Net Realized Gain (Loss) | Average Number of Contracts(a) | ||||||||||||
Emerging Markets Equity | Equity | Net realized gain (loss) from futures contracts | $ | (77,623 | ) | 1 | ||||||||||
| (a) | Average number of contracts is based on the average of month end balances for the fiscal year ended October 31, 2016. |
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAMI manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAMI is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
48
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended October 31, 2016, contractual and effective net management fees with GSAMI were at the following rates:
| Contractual Management Rate | Effective Net Management Rate^ | |||||||||||||||||||||||||||||
| Fund | First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | ||||||||||||||||||||||||
Asia Equity | 1.00 | % | 0.90 | % | 0.86 | % | 0.84 | % | 0.82 | % | 1.00 | % | 1.00 | % | ||||||||||||||||
Emerging Markets Equity | 1.20 | 1.20 | 1.08 | 1.03 | 1.01 | 1.20 | 1.02 | * | ||||||||||||||||||||||
N-11 Equity | 1.30 | 1.30 | 1.24 | 1.21 | 1.19 | 1.30 | 1.13 | * | ||||||||||||||||||||||
| ^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. |
| * | GSAMI agreed to waive a portion of its management fee in order to achieve net management rates as defined in the Funds’ most recent prospectuses. These waivers will be effective through at least February 26, 2017, and prior to such date, GSAMI may not terminate the arrangements without the approval of the Trustees. |
The Asia Equity and Emerging Markets Equity Funds invest in the Institutional Shares of Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAMI has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to any of the affiliated Underlying Funds in which the Fund invests. For the fiscal year ended October 31, 2016, GSAMI waived $23 and $44 of the Funds’ management fees, respectively.
B. Distribution and Service Plans — The Trust, on behalf of each Fund, has adopted Distribution and Service Plans (the “Plans”). Under the Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, at the following annual rates calculated on a Fund’s average daily net assets of each respective share class:
| Distribution and Service Plan Rates | ||||||||
| Class A* | Class C | |||||||
Distribution Plan | 0.25 | % | 0.75 | % | ||||
Service Plan | — | 0.25 | ||||||
| * | With respect to Class A Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution Plan to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority. |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares front end sales charge and Class C Shares’ CDSC. During the fiscal year ended October 31, 2016, Goldman Sachs advised that it retained the following amounts:
| Front End Sales Charge | ||||||
| Fund | Class A | |||||
Asia Equity | $ | 355 | ||||
Emerging Markets Equity | 3,184 | |||||
N-11 Equity | 1,279 | |||||
D. Service Plan and Shareholder Administration Plan — The Trust, on behalf of each Fund that offers Service Shares, has adopted a Service Plan and a Shareholder Administration Plan. These plans allow for service organizations (including Goldman Sachs) to provide varying levels of personal and account maintenance and shareholder administration services to their customers
49
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
who are beneficial owners of such shares. The Service Plan and Shareholder Administration Plan each provide for compensation to the service organizations which is accrued daily and paid monthly at an annual rate of 0.25% (0.50% in aggregate) of the average daily net assets of the Service Shares.
E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.19% of the average daily net assets of Class A, Class C, and Class IR Shares; 0.02% of the average daily net assets of Class R6 Shares; and 0.04% of the average daily net assets of Institutional and Service Shares.
F. Other Expense Agreements and Affiliated Transactions — GSAMI has agreed to limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, shareholder meeting, litigation, indemnification and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAMI for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the Asia Equity, Emerging Markets Equity and N-11 Equity Funds are 0.114%, 0.194% and 0.164%, respectively. Prior to February 26, 2016, the Other Expense limitation was 0.254% for the Asia Equity Fund. These Other Expense limitations will remain in place through at least February 26, 2017 and prior to such date GSAMI may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the fiscal year ended October 31, 2016, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| Fund | Management Fee Waiver | Other Expense | Custody Fee Credits | Total Expense Reductions | ||||||||||||||
Asia Equity | $ | 22 | $ | 420,496 | $ | 1,558 | $ | 422,076 | ||||||||||
Emerging Markets Equity | 860,967 | 296,573 | 4,740 | 1,162,280 | ||||||||||||||
N-11 Equity | 217,568 | 624,544 | 367 | 842,479 | ||||||||||||||
G. Line of Credit Facility — As of October 31, 2016, the Funds participated in a $1,100,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAMI or its affiliates (“Other Borrowers”). This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the fiscal year ended October 31, 2016, the Funds did not have any borrowings under the facility.
H. Other Transactions with Affiliates — As of October 31, 2016, the following Fund of Fund Portfolio was the beneficial owner of 5% or more of total outstanding shares of the following Fund:
| Fund | Goldman Sachs Satellite Strategies Portfolio | |||||
Emerging Markets Equity | 7 | % | ||||
As of October 31, 2016, The Goldman Sachs Group, Inc. was the beneficial owner of approximately 45% of the Class IR Shares of the Asia Equity Fund.
50
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The following table provides information about the Asia Equity and Emerging Markets Equity Funds’ investment in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended October 31, 2016:
| Fund | Market Value 10/31/2015 | Purchases at Cost | Proceeds from Sales | Market Value 10/31/2016 | Dividend Income | |||||||||||||||||
Asia Equity | $ | — | $ | 2,077,677 | $ | (1,318,322 | ) | $ | 759,355 | $ | 68 | |||||||||||
Emerging Markets Equity | — | 3,061,200 | (3,061,150 | ) | 50 | 136 | ||||||||||||||||
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended October 31, 2016, were as follows:
| Fund | Purchases | Sales and Maturities | ||||||||
Asia Equity | $ | 79,346,702 | $ | 87,699,697 | ||||||
Emerging Markets Equity | 514,480,291 | 442,013,629 | ||||||||
N-11 Equity | 34,825,989 | 118,868,559 | ||||||||
| 7. TAX INFORMATION |
The tax character of distributions paid during the fiscal year ended October 31, 2016 was as follows:
| Asia Equity | Emerging Markets Equity | N-11 Equity | ||||||||||
Distributions paid from: | ||||||||||||
Ordinary income | $ | — | $ | 357,735 | $ | 972,415 | ||||||
The tax character of distributions paid during the fiscal year ended October 31, 2015 was as follows:
| Asia Equity | Emerging Markets Equity | N-11 Equity | ||||||||||
Distributions paid from: | ||||||||||||
Ordinary income | $ | 192,777 | $ | 950,332 | $ | 1,334,018 | ||||||
51
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 7. TAX INFORMATION (continued) |
As of October 31, 2016, the components of accumulated earnings (losses) on a tax-basis were as follows:
| Asia Equity | Emerging Markets Equity | N-11 Equity | ||||||||||
Undistributed ordinary income — net | $ | — | $ | 5,129,145 | $ | — | ||||||
Capital loss carryforwards: | ||||||||||||
Expiring 2017(1) | $ | (7,699,879 | ) | $ | (445,745,035 | ) | $ | — | ||||
Perpetual long-term | — | (17,942,375 | ) | (36,154,002 | ) | |||||||
Perpetual short-term | (1,112,900 | ) | (29,675,460 | ) | (32,413,251 | ) | ||||||
Total capital loss carryforwards | $ | (8,812,779 | ) | $ | (493,362,870 | ) | $ | (68,567,253 | ) | |||
Unrealized gains — net | 2,358,318 | 50,378,482 | 12,409,030 | |||||||||
Total accumulated losses — net | $ | (6,454,461 | ) | $ | (437,855,243 | ) | $ | (56,158,223 | ) | |||
| (1) | Expiration occurs on October 31 of the year indicated. The Emerging Markets Equity Fund had capital loss carryforwards of $12,534,998 which expired in the current fiscal year. |
As of October 31, 2016, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| Asia Equity | Emerging Markets Equity | N-11 Equity | ||||||||||
Tax cost | $ | 70,591,408 | $ | 510,059,094 | $ | 87,364,838 | ||||||
Gross unrealized gain | 9,124,567 | 78,068,850 | 19,163,511 | |||||||||
Gross unrealized loss | (6,483,169 | ) | (27,210,258 | ) | (6,761,065 | ) | ||||||
Net unrealized security gain | $ | 2,641,398 | $ | 50,858,592 | $ | 12,402,446 | ||||||
Net unrealized gain (loss) on other investments | (283,080 | ) | (480,110 | ) | 6,584 | |||||||
Net unrealized gain | $ | 2,358,318 | $ | 50,378,482 | $ | 12,409,030 | ||||||
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales and differences in the tax treatment of passive foreign investment company investments.
In order to present certain components of the Funds’ capital accounts on a tax-basis, certain reclassifications have been recorded to the Funds’ accounts. These reclassifications have no impact on the NAV of the Funds and result primarily from net operating losses, expired capital loss carryforwards and differences in the tax treatment of foreign currency transactions, passive foreign investment company investments and realized foreign capital gains tax.
| Fund | Paid-in Capital | Accumulated Net Realized Gain (Loss) | Undistributed Net Investment Income (Loss) | |||||||||||
Asia Equity | $ | (95,981 | ) | $ | 145,022 | $ | (49,041 | ) | ||||||
Emerging Markets Equity | (12,534,998 | ) | 13,739,379 | (1,204,381 | ) | |||||||||
N-11 Equity | (3,973,166 | ) | 4,897,689 | (924,523 | ) | |||||||||
GSAMI has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
52
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
| 8. OTHER RISKS |
The Funds’ risks include, but are not limited to, the following:
Derivatives Risk — Loss may result from the Fund’s investments in derivative instruments. These instruments may be illiquid, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Fund. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. Losses from investments in derivatives can result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which a Fund invests. Loss may also result from the imposition of exchange controls, confiscations and other government restrictions by the U.S. or other governments, or from problems in registration, settlement or custody. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which a Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that a Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
Foreign Custody Risk — A Fund that invests in foreign securities may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy. Investments in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in emerging market countries are very often undeveloped and may be considerably less well regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.
Geographic Risk — Concentration of the investments of a Fund in issuers located in a particular country or region will subject the Fund, to a greater extent than if investments were less concentrated, to the risks of adverse securities markets, exchange rates and social, political, regulatory or economic events which may occur in a given country or region. The Asia Equity Fund invests primarily in equity investments in Asian issuers. The N-11 Equity Fund invests primarily in equity investments in the N-11 countries, and may invest up to 50% of its assets in any one N-11 country.
Investments in Other Investment Companies — As a shareholder of another investment company, including an ETF, a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include the Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions may cause a Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.
53
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 8. OTHER RISKS (continued) |
Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions.
Market and Credit Risks — In the normal course of business, a Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Non-Diversification Risk — The N-11 Equity Fund is non-diversified, meaning that it is permitted to invest a larger percentage of its assets in fewer issuers than diversified mutual funds. Thus, the Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio, and may be more susceptible to greater losses because of these developments.
Geographic and Sector Risk — As a result of the N-11 Equity Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business, political, environmental or other development may affect the value of the Fund’s investments more than if its investments were not so focused.
| 9. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAMI believes the risk of loss under these arrangements to be remote.
| 10. SUBSEQUENT EVENTS |
Subsequent events after the Statements of Assets and Liabilities date have been evaluated and GSAMI has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
54
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
| 11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| Asia Equity Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 18,950 | $ | 377,355 | 235,104 | $ | 5,013,336 | ||||||||||
Shares converted from Class B(a) | — | — | 3,947 | 79,446 | ||||||||||||
Shares redeemed | (112,888 | ) | (2,284,483 | ) | (119,009 | ) | (2,450,235 | ) | ||||||||
| (93,938 | ) | (1,907,128 | ) | 120,042 | 2,642,547 | |||||||||||
| Class B Shares(a) | ||||||||||||||||
Shares converted to Class A | — | — | (4,175 | ) | (79,446 | ) | ||||||||||
Shares redeemed | — | — | (11,670 | ) | (221,835 | ) | ||||||||||
| — | — | (15,845 | ) | (301,281 | ) | |||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 2,343 | 43,465 | 14,511 | 294,885 | ||||||||||||
Shares redeemed | (12,807 | ) | (233,866 | ) | (23,699 | ) | (445,511 | ) | ||||||||
| (10,464 | ) | (190,401 | ) | (9,188 | ) | (150,626 | ) | |||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 91,051 | 1,840,720 | 148,725 | 3,263,191 | ||||||||||||
Reinvestment of distributions | — | — | 9,275 | 191,440 | ||||||||||||
Shares redeemed | (337,388 | ) | (7,026,128 | ) | (383,547 | ) | (8,037,850 | ) | ||||||||
| (246,337 | ) | (5,185,408 | ) | (225,547 | ) | (4,583,219 | ) | |||||||||
| Class IR Shares | ||||||||||||||||
Shares sold | 1,401 | 30,436 | — | 2 | ||||||||||||
Reinvestment of distributions | — | — | 6 | 134 | ||||||||||||
Shares redeemed | (1,263 | ) | (27,780 | ) | — | — | ||||||||||
| 138 | 2,656 | 6 | 136 | |||||||||||||
NET DECREASE | (350,601 | ) | $ | (7,280,281 | ) | (130,532 | ) | $ | (2,392,443 | ) | ||||||
| (a) | Class B Shares converted into Class A Shares at the close of business on November 14, 2014. |
55
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| Emerging Markets Equity Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 525,881 | $ | 7,916,505 | 1,408,550 | $ | 22,392,294 | ||||||||||
Shares issued in connection with merger | — | — | 2,662,878 | 40,049,765 | ||||||||||||
Shares converted from Class B(a) | — | — | 22,303 | 355,064 | ||||||||||||
Shares redeemed | (1,205,412 | ) | (17,810,571 | ) | (1,501,117 | ) | (22,992,112 | ) | ||||||||
| (679,531 | ) | (9,894,066 | ) | 2,592,614 | 39,805,011 | |||||||||||
| Class B Shares(a) | ||||||||||||||||
Shares converted to Class A | — | — | (24,726 | ) | (355,064 | ) | ||||||||||
Shares redeemed | — | — | (97,564 | ) | (1,400,667 | ) | ||||||||||
| — | — | (122,290 | ) | (1,755,731 | ) | |||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 136,803 | 1,843,385 | 102,126 | 1,490,580 | ||||||||||||
Shares issued in connection with merger | — | — | 2,054,325 | 27,877,096 | ||||||||||||
Shares redeemed | (765,758 | ) | (10,088,827 | ) | (226,822 | ) | (3,176,820 | ) | ||||||||
| (628,955 | ) | (8,245,442 | ) | 1,929,629 | 26,190,856 | |||||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 17,639,592 | 274,394,345 | 9,734,085 | 154,429,954 | ||||||||||||
Shares issued in connection with merger | — | — | 2,177,674 | 34,951,589 | ||||||||||||
Reinvestment of distributions | 22,405 | 349,742 | 52,352 | 866,429 | ||||||||||||
Shares redeemed | (12,765,591 | ) | (194,516,952 | ) | (9,033,668 | ) | (145,961,176 | ) | ||||||||
| 4,896,406 | 80,227,135 | 2,930,443 | 44,286,796 | |||||||||||||
| Service Shares | ||||||||||||||||
Shares sold | 317,809 | 4,726,912 | 407,392 | 6,240,052 | ||||||||||||
Shares redeemed | (206,855 | ) | (2,980,848 | ) | (329,709 | ) | (4,956,992 | ) | ||||||||
| 110,954 | 1,746,064 | 77,683 | 1,283,060 | |||||||||||||
| Class IR Shares | ||||||||||||||||
Shares sold | 330,016 | 5,307,643 | 64,260 | 963,795 | ||||||||||||
Shares issued in connection with merger | — | — | 21,115 | 337,411 | ||||||||||||
Reinvestment of distributions | 71 | 1,110 | 29 | 472 | ||||||||||||
Shares redeemed | (116,193 | ) | (1,740,216 | ) | (12,957 | ) | (204,046 | ) | ||||||||
| 213,894 | 3,568,537 | 72,447 | 1,097,632 | |||||||||||||
| Class R6 Shares(b) | ||||||||||||||||
Shares sold | 323,494 | 5,352,307 | 598 | 10,005 | ||||||||||||
Reinvestment of distributions | 1 | 11 | — | — | ||||||||||||
Shares redeemed | (35,704 | ) | (591,283 | ) | — | (5 | ) | |||||||||
| 287,791 | 4,761,035 | 598 | 10,000 | |||||||||||||
NET INCREASE | 4,200,559 | $ | 72,163,263 | 7,481,124 | $ | 110,917,624 | ||||||||||
| (a) | Class B Shares were converted into Class A Shares at the close of business on November 14, 2014. |
| (b) | Class R6 Shares commenced operations on July 31, 2015. |
56
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| N-11 Equity Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 550,789 | $ | 4,823,684 | 1,245,917 | $ | 12,523,320 | ||||||||||
Reinvestment of distributions | 7,693 | 67,624 | 541 | 5,728 | ||||||||||||
Shares redeemed | (3,503,751 | ) | (30,530,632 | ) | (3,985,792 | ) | (40,013,042 | ) | ||||||||
| (2,945,269 | ) | (25,639,324 | ) | (2,739,334 | ) | (27,483,994 | ) | |||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 17,925 | 152,129 | 42,651 | 421,093 | ||||||||||||
Shares redeemed | (319,793 | ) | (2,741,260 | ) | (465,541 | ) | (4,541,897 | ) | ||||||||
| (301,868 | ) | (2,589,131 | ) | (422,890 | ) | (4,120,804 | ) | |||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 641,001 | 5,745,160 | 4,351,003 | 43,841,194 | ||||||||||||
Reinvestment of distributions | 87,939 | 774,739 | 99,758 | 1,060,423 | ||||||||||||
Shares redeemed | (6,525,574 | ) | (57,441,506 | ) | (19,466,511 | ) | (191,323,722 | ) | ||||||||
| (5,796,634 | ) | (50,921,607 | ) | (15,015,750 | ) | (146,422,105 | ) | |||||||||
| Class IR Shares | ||||||||||||||||
Shares sold | 199,110 | 1,729,746 | 278,920 | 2,812,772 | ||||||||||||
Reinvestment of distributions | 8,082 | 71,120 | 6,906 | 73,277 | ||||||||||||
Shares redeemed | (566,002 | ) | (5,000,272 | ) | (1,297,666 | ) | (12,623,722 | ) | ||||||||
| (358,810 | ) | (3,199,406 | ) | (1,011,840 | ) | (9,737,673 | ) | |||||||||
NET DECREASE | (9,402,581 | ) | $ | (82,349,468 | ) | (19,189,814 | ) | $ | (187,764,576 | ) | ||||||
57
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Goldman Sachs Trust and Shareholders of the
Goldman Sachs Fundamental Emerging Markets Equity Funds:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Goldman Sachs Asia Equity Fund, Goldman Sachs Emerging Markets Equity Fund, and Goldman Sachs N-11 Equity Fund (collectively the “Funds”), funds of the Goldman Sachs Trust, at October 31, 2016, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2016 by correspondence with the custodian, brokers, transfer agent of the underlying funds and the application of alternative auditing procedures where securities purchased confirmations had not been received, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
December 23, 2016
58
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Fund Expenses — Six Month Period Ended October 31, 2016 (Unaudited)
As a shareholder of Class A, Class C, Institutional, Service, Class IR or Class R6 Shares of a Fund you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares) and contingent deferred sales charges on redemptions (with respect to and Class C Shares); and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees (with respect to Class A and Class C Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class C, Institutional, Service, Class IR and Class R6 Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from May 1, 2016 through October 31, 2016, which represents a period of 184 days of a 366 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fee or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Asia Equity Fund | Emerging Markets Equity Fund | N-11 Equity Fund | ||||||||||||||||||||||||||||||||||
| Share Class | Beginning Account Value 5/01/2016 | Ending Account Value 10/31/2016 | Expenses Paid for the 6 Months Ended 10/31/2016* | Beginning Account Value 5/01/2016 | Ending Account Value 10/31/2016 | Expenses Paid for the 6 Months Ended 10/31/2016* | Beginning Account Value 5/01/2016 | Ending Account Value 10/31/2016 | Expenses Paid for the 6 Months Ended 10/31/2016* | |||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,084.90 | $ | 8.12 | $ | 1,000 | $ | 1,098.80 | $ | 8.70 | $ | 1,000 | $ | 985.70 | $ | 8.64 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,017.34 | + | 7.86 | 1,000 | 1,016.84 | + | 8.36 | 1,000 | 1,016.44 | + | 8.77 | ||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,081.30 | 12.03 | 1,000 | 1,094.10 | 12.63 | 1,000 | 981.90 | 12.35 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,013.57 | + | 11.64 | 1,000 | 1,013.07 | + | 12.14 | 1,000 | 1,012.67 | + | 12.55 | ||||||||||||||||||||||||
| Institutional | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,086.70 | 6.03 | 1,000 | 1,100.70 | 6.60 | 1,000 | 988.00 | 6.65 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,019.36 | + | 5.84 | 1,000 | 1,018.85 | + | 6.34 | 1,000 | 1,018.45 | + | 6.75 | ||||||||||||||||||||||||
| Service | ||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | 1,000 | 1,097.80 | 9.23 | N/A | N/A | N/A | |||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | 1,000 | 1,016.34 | + | 8.87 | N/A | N/A | N/A | ||||||||||||||||||||||||||
| Class IR | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,085.90 | 6.82 | 1,000 | 1,100.00 | 7.39 | 1,000 | 986.80 | 7.39 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,018.60 | + | 6.60 | 1,000 | 1,018.10 | + | 7.10 | 1,000 | 1,017.70 | + | 7.51 | ||||||||||||||||||||||||
| Class R6 | ||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | 1,000 | 1,100.70 | 6.49 | N/A | N/A | N/A | |||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | 1,000 | 1,018.95 | + | 6.24 | N/A | N/A | N/A | ||||||||||||||||||||||||||
| * | Expenses are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended October 31, 2016. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
| Fund | Class A | Class C | Institutional | Service | Class IR | Class R6 | ||||||||||||||||||
Asia Equity | 1.55 | % | 2.30 | % | 1.15 | % | N/A | 1.30 | % | N/A | ||||||||||||||
Emerging Markets Equity | 1.65 | 2.40 | 1.25 | 1.75 | % | 1.40 | 1.23 | % | ||||||||||||||||
N-11 Equity | 1.73 | 2.48 | 1.33 | N/A | 1.48 | N/A | ||||||||||||||||||
| + | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
59
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Asia Equity Fund, Goldman Sachs Emerging Markets Equity Fund, and Goldman Sachs N-11 Equity Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management International (the “Investment Adviser”) on behalf of the Funds.
The Management Agreement was most recently approved for continuation until June 30, 2017 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 15-16, 2016 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to each Fund, such matters included:
| (a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
| (i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
| (ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
| (iii) | trends in employee headcount; |
| (iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
| (v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
| (b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), a benchmark performance index, and a composite of accounts with comparable investment strategies managed by the Investment Adviser (in the case of the Asia Equity Fund); and general investment outlooks in the markets in which the Fund invests; |
| (c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
| (d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
| (e) | fee and expense information for the Fund, including: |
| (i) | the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
| (ii) | the Fund’s expense trends over time; and |
| (iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
| (f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
| (g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
| (h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates; |
| (i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
60
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
| (j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, portfolio trading, distribution and other services; |
| (k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
| (l) | information regarding commissions paid by the Fund and broker oversight, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
| (m) | portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
| (n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
| (o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity, and payment of distribution, service, and shareholder administration fees, as applicable. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the regulatory and control environment in which the Funds and their service providers operate, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Funds. In this regard, they compared the investment performance of each Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2015, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2016. The information on each Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates, to the extent that each Fund had been in existence for those periods. The
61
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Trustees also reviewed each Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies and market conditions. The Trustees also received information comparing the Asia Equity Fund’s performance to that of a composite of accounts with comparable investment strategies managed by the Investment Adviser.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.
The Trustees noted that the Asia Equity Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one-, three-, and five-year periods and in the fourth quartile for the ten-year period, and had outperformed the Fund’s benchmark index for the one-, three-, and five-year periods and underperformed for the ten-year period ended March 31, 2016. The Trustees observed that Emerging Markets Equity Fund’s Institutional Shares had placed in the first quartile of the Fund’s peer group for the one-, three-, and five-year periods, and in the third quartile for the ten-year period, and had outperformed the Fund’s benchmark index for the one-, three-, and five-year periods and underperformed for the ten-year period ended March 31, 2016. They also noted that the Goldman Sachs BRIC Fund had been reorganized into the Emerging Markets Equity Fund in August 2015. The Trustees noted that the N-11 Equity Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the five-year period, in the third quartile for the one-year period, and in the fourth quartile for the three-year period, and had underperformed the Fund’s benchmark index for the one-, three-, and five-year periods ended March 31, 2016. The Trustees also noted that the Asia Equity Fund had experienced certain portfolio management changes in the first quarter of 2016.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by each Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of each Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s transfer agency, custody, and distribution fees, other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed the Investment Adviser’s revenues and pre-tax profit margins with respect to the Trust and each of the Funds. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization had audited the expense allocation methodology and was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology and profitability analysis calculations. Profitability data for the Trust and each Fund were provided for 2015 and 2014, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The
62
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.
Economies of Scale
The Trustees considered the information that had been provided regarding the Investment Adviser’s profitability. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:
| Asia Equity Fund | Emerging Markets Equity Fund | N-11 Equity Fund | ||||||||||
| First $1 billion | 1.00 | % | 1.20 | % | 1.30 | % | ||||||
| Next $1 billion | 0.90 | 1.20 | 1.30 | |||||||||
| Next $3 billion | 0.86 | 1.08 | 1.24 | |||||||||
| Next $3 billion | 0.84 | 1.03 | 1.21 | |||||||||
| Over $8 billion | 0.82 | 1.01 | 1.19 | |||||||||
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertaking to waive a portion of its management fee (with respect to the Emerging Markets Equity and N-11 Equity Funds) and to limit certain expenses of the Funds that exceed specified levels. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds as stated above, including: (a) transfer agency fees received by Goldman, Sachs & Co. (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Funds; (c) research received by the Investment Adviser from broker-dealers in exchange for executing certain transactions on behalf of the Funds; (d) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (e) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (f) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (g) Goldman Sachs’ retention of certain fees as Fund Distributor; (h) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; and (i) the possibility that the working relationship between the Investment Adviser and the Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Funds and Their Shareholders
The Trustees also noted that the Funds receive certain potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors because of the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers because of the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Funds as a result of the size and reputation of the Goldman Sachs organization; (e) the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization; (g) the Funds’ access, through the Investment Adviser, to certain firmwide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (h) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Funds’ shareholders
63
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Management Agreement should be approved and continued with respect to each Fund until June 30, 2017.
64
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Trustees and Officers (Unaudited)
Independent Trustees
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Ashok N. Bakhru Age: 74 | Chairman of the Board of Trustees | Since 1996 (Trustee since 1991) | Mr. Bakhru is retired. He was formerly Director, Apollo Investment Corporation (a business development company) (2008-2013); President, ABN Associates (a management and financial consulting firm) (1994-1996 and 1998-2012); Trustee, Scholarship America (1998-2005); Trustee, Institute for Higher Education Policy (2003-2008); Director, Private Equity Investors — III and IV (1998-2007), and Equity-Linked Investors II (April 2002-2007).
Chairman of the Board of Trustees — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | 142 | None | |||||
Kathryn A. Cassidy Age: 62 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Diana M. Daniels Age: 67 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Herbert J. Markley Age: 66 | Trustee | Since 2013 | Mr. Markley is retired. Formerly, he was Executive Vice President, Deere & Company (an agricultural and construction equipment manufacturer) (2007-2009); and President, Agricultural Division, Deere & Company (2001-2007). Previously, Mr. Markley served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Jessica Palmer Age: 67 | Trustee | Since 2007 | Ms. Palmer is retired. She is Director, Emerson Center for the Arts and Culture (2011-Present); and was formerly a Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None |
65
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Trustees and Officers (Unaudited) (continued)
Independent Trustees
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Roy W. Templin Age: 56 | Trustee | Since 2013 | Mr. Templin is retired. He recently served as Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); and was formerly Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Gregory G. Weaver Age: 65 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | Verizon Communications Inc. | |||||
66
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Trustees and Officers (Unaudited) (continued)
Interested Trustees*
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
James A. McNamara Age: 54 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993- April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | 140 | None | |||||
Alan A. Shuch Age: 66 | Trustee | Since 1990 | Advisory Director — GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994-May 1999).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
| * | These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
| 1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of October 31, 2016. |
| 2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirement shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. One Trustee has been granted a waiver from the foregoing policies which permits him to serve until December 31, 2017. |
| 3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of October 31, 2016, Goldman Sachs Trust consisted of 92 portfolios (91 of which offered shares to the public); Goldman Sachs Variable Insurance Trust consisted of 14 portfolios; Goldman Sachs Trust II consisted of 17 portfolios (15 of which offered shares to the public); Goldman Sachs BDC, Inc., Goldman Sachs Private Middle Market Credit LLC, Goldman Sachs MLP Income Opportunities Fund, and Goldman Sachs MLP and Energy Renaissance Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 15 portfolios (eight of which offered shares to the public). Goldman Sachs Private Middle Market Credit LLC does not offer shares to the public. |
| 4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
67
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 54 | Trustee and President | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 39 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Middle Market Lending LLC; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
Scott M. McHugh 200 West Street New York, NY 10282 Age: 45 | Treasurer, Senior Vice President and Principal Financial Officer | Since 2009 (Principal Financial Officer since 2013) | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (February 2007-December 2015); Assistant Treasurer of certain mutual funds administered by DWS Scudder (2005-2007); and Director (2005-2007), Vice President (2000-2005), and Assistant Vice President (1998-2000), Deutsche Asset Management or its predecessor (1998-2007).
Treasurer, Senior Vice President and Principal Financial Officer — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
| 1 | Information is provided as of October 31, 2016. |
| 2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Trust — Fundamental Emerging Markets Equity Funds — Tax Information (Unaudited)
From distributions paid during the year ended October 31, 2016, the total amount of income received by the Emerging Markets Equity and N-11 Equity Funds from sources within foreign countries and possessions of the United States was $0.0615 and $0.1815 per share, respectively, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid from foreign sources by the Emerging Markets Equity and N-11 Equity Funds were 100% and 99.07%, respectively. The total amount of taxes paid by the Emerging Markets Equity and N-11 Equity Funds to such countries was $0.0263 and $0.0710 per share, respectively.
For the year ended October 31, 2016, 100% of the dividends paid from net investment company taxable income by the Emerging Markets Equity and N-11 Equity Funds, respectively, qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
68
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.15 trillion in assets under supervision as of September 30, 2016, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman, Sachs & Co. subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| n | Financial Square Treasury Solutions Fund1 |
| n | Financial Square Government Fund1 |
| n | Financial Square Money Market Fund2 |
| n | Financial Square Prime Obligations Fund2 |
| n | Financial Square Treasury Instruments Fund1 |
| n | Financial Square Treasury Obligations Fund1 |
| n | Financial Square Federal Instruments Fund1 |
| n | Financial Square Tax-Exempt Money Market Fund2 |
Investor FundsSM
| n | Investor Money Market Fund3 |
| n | Investor Tax-Exempt Money Market Fund3,4 |
Fixed Income
Short Duration and Government
| n | Enhanced Income Fund |
| n | High Quality Floating Rate Fund |
| n | Short-Term Conservative Income Fund5 |
| n | Short Duration Government Fund |
| n | Short Duration Income Fund |
| n | Government Income Fund |
| n | Inflation Protected Securities Fund |
Multi-Sector
| n | Bond Fund |
| n | Core Fixed Income Fund |
| n | Global Income Fund |
| n | Strategic Income Fund |
Municipal and Tax-Free
| n | High Yield Municipal Fund |
| n | Dynamic Municipal Income Fund |
| n | Short Duration Tax-Free Fund |
Single Sector
| n | Investment Grade Credit Fund |
| n | U.S. Mortgages Fund |
| n | High Yield Fund |
| n | High Yield Floating Rate Fund |
| n | Emerging Markets Debt Fund |
| n | Local Emerging Markets Debt Fund |
| n | Dynamic Emerging Markets Debt Fund |
Fixed Income Alternatives
| n | Long Short Credit Strategies Fund |
| n | Fixed Income Macro Strategies Fund |
Fundamental Equity
| n | Growth and Income Fund |
| n | Small Cap Value Fund |
| n | Small/Mid Cap Value Fund |
| n | Mid Cap Value Fund |
| n | Large Cap Value Fund |
| n | Focused Value Fund |
| n | Capital Growth Fund |
| n | Strategic Growth Fund |
| n | Focused Growth Fund |
| n | Small/Mid Cap Growth Fund |
| n | Flexible Cap Growth Fund |
| n | Concentrated Growth Fund |
| n | Technology Opportunities Fund |
| n | Growth Opportunities Fund |
| n | Rising Dividend Growth Fund |
| n | Dynamic U.S. Equity Fund |
| n | Income Builder Fund |
Tax-Advantaged Equity
| n | U.S. Tax-Managed Equity Fund |
| n | International Tax-Managed Equity Fund |
| n | U.S. Equity Dividend and Premium Fund |
| n | International Equity Dividend and Premium Fund |
Equity Insights
| n | Small Cap Equity Insights Fund |
| n | U.S. Equity Insights Fund |
| n | Small Cap Growth Insights Fund |
| n | Large Cap Growth Insights Fund |
| n | Large Cap Value Insights Fund |
| n | Small Cap Value Insights Fund |
| n | International Small Cap Insights Fund6 |
| n | International Equity Insights Fund |
| n | Emerging Markets Equity Insights Fund |
Fundamental Equity International
| n | Strategic International Equity Fund |
| n | Focused International Equity Fund |
| n | Asia Equity Fund |
| n | Emerging Markets Equity Fund |
| n | N-11 Equity Fund |
Select Satellite
| n | Real Estate Securities Fund |
| n | International Real Estate Securities Fund |
| n | Commodity Strategy Fund |
| n | Global Real Estate Securities Fund |
| n | Dynamic Commodity Strategy Fund |
| n | Dynamic Allocation Fund |
| n | Absolute Return Tracker Fund |
| n | Long Short Fund |
| n | Managed Futures Strategy Fund |
| n | MLP Energy Infrastructure Fund |
| n | Multi-Manager Alternatives Fund |
| n | Multi-Asset Real Return Fund |
| n | Absolute Return Multi-Asset Fund |
| n | Global Infrastructure Fund |
Total Portfolio Solutions
| n | Global Managed Beta Fund |
| n | Multi-Manager Non-Core Fixed Income Fund |
| n | Multi-Manager U.S. Dynamic Equity Fund |
| n | Multi-Manager Global Equity Fund |
| n | Multi-Manager International Equity Fund |
| n | Tactical Tilt Overlay Fund7 |
| n | Balanced Strategy Portfolio |
| n | Multi-Manager U.S. Small Cap Equity Fund |
| n | Multi-Manager Real Assets Strategy Fund |
| n | Growth and Income Strategy Portfolio |
| n | Growth Strategy Portfolio |
| n | Equity Growth Strategy Portfolio |
| n | Satellite Strategies Portfolio |
| n | Enhanced Dividend Global Equity Portfolio |
| n | Tax-Advantaged Global Equity Portfolio |
| n | Strategic Factor Allocation Fund |
| n | Target Date 2020 Portfolio |
| n | Target Date 2025 Portfolio |
| n | Target Date 2030 Portfolio |
| n | Target Date 2035 Portfolio |
| n | Target Date 2040 Portfolio |
| n | Target Date 2045 Portfolio |
| n | Target Date 2050 Portfolio |
| n | Target Date 2055 Portfolio |
| n | GQG Partners International Opportunities Fund |
| 1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | Effective on March 31, 2016, the Goldman Sachs Financial Square Tax-Free Money Market Fund was renamed the Goldman Sachs Investor Tax-Exempt Money Market Fund. |
| 5 | Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund. |
| 6 | Effective at the close of business on February 5, 2016, the Goldman Sachs International Small Cap Fund was reorganized with and into the Goldman Sachs International Small Cap Insights Fund. |
| 7 | Effective on June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund. Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman, Sachs & Co. |
| * | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
TRUSTEES Ashok N. Bakhru, Chairman Kathryn A. Cassidy Diana M. Daniels Herbert J. Markley James A. McNamara Jessica Palmer Alan A. Shuch Roy W. Templin Gregory G. Weaver | OFFICERS James A. McNamara, President Scott M. McHugh, Principal Financial Officer, Caroline L. Kraus, Secretary | |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | GOLDMAN SACHS ASSET MANAGEMENT, INTERNATIONAL Investment Adviser | |
Visit our website at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (the “SEC”) web site at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s web site at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Holdings and allocations shown are as of October 31, 2016 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk. Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2016 Goldman Sachs. All rights reserved. 74902-TMPL-12/2016 / EMEAR-16/13.1K
Goldman Sachs Funds
| Annual Report | October 31, 2016 | |||
Fundamental International Equity Funds | ||||
Focused International Equity | ||||
Strategic International Equity | ||||
Goldman Sachs Fundamental International Equity Funds
| ∎ | FOCUSED INTERNATIONAL EQUITY |
| ∎ | STRATEGIC INTERNATIONAL EQUITY |
TABLE OF CONTENTS | ||||
Investment Process | 1 | |||
Market Review | 2 | |||
Portfolio Management Discussions and Performance Summaries | 5 | |||
Schedule of Investments | 21 | |||
Financial Statements | 25 | |||
Financial Highlights | 28 | |||
Notes to the Financial Statements | 32 | |||
Report of Independent Registered Public Accounting Firm | 44 | |||
Other Information | 45 | |||
| NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
What Differentiates Goldman Sachs’ Fundamental International Equity Investment Process?
Goldman Sachs’ Fundamental International Equity investment process is based on the belief that strong, consistent results are best achieved through expert stock selection, performed by research teams working together on a global scale. Our deep, diverse and experienced team of research analysts and portfolio managers combines local insights with global, industry-specific expertise to identify its high conviction investment ideas.
| n | Fundamental research teams based in the United States, United Kingdom, Japan, China, Korea, Singapore, Brazil, and India and focusing on long-term business and management quality |
| n | Analysts collaborate regularly to leverage regional and industry-specific research and insights |
| n | Global perspective is informed by local market expertise |
| n | A common valuation framework, focusing on long-term earnings power, ensures consistency when valuing and comparing a company to its peers globally |
| n | Team of experienced Research Analysts is regionally aligned and has sector expertise |
| n | Team leverages the research of the approximately 80+ regional investment professionals |
| n | Decision-making process is informed by active participation in the global research process |
| n | Security selections are aligned with level of investment conviction |
| n | Risk monitoring considers whether investment and other risks to the Funds are intended and justified |
| n | Dedicated portfolio construction team assists in ongoing monitoring and adjustment of the Funds |
International equity portfolios that strive to offer:
| n | Access to markets across the world |
| n | Disciplined approach to stock selection |
| n | Optimal risk/return profiles |
1
MARKET REVIEW
Goldman Sachs Fundamental International Equity Funds
Market Review
International equities lost ground during the 12-month period ended October 31, 2016 (the “Reporting Period”). The Morgan Stanley Capital International (“MSCI”) Europe, Australasia, Far East (“EAFE”) Index (Net, USD, Unhedged) (the “MSCI® EAFE Index”) posted a return of -3.22%.*
As the Reporting Period began in November 2015, divergent monetary policy between international developed market central banks and an increasingly hawkish U.S. Federal Reserve (“Fed”) was a key theme. (Hawkish language tends to suggest higher interest rates; opposite of dovish.) When the Fed hiked interest rates by 25 basis points in December 2015, the fairly dovish language in the statement, which emphasized “gradual” future adjustments to policy, helped to somewhat assuage market sentiment. (A basis point is 1/100th of a percentage point.) Meanwhile, the Bank of Japan (“BoJ”) announced supplementary support for its quantitative and qualitative easing programs in the same month. While the European Central Bank (“ECB”) also lowered its deposit rate by 10 basis points and announced an extension of its quantitative easing program at its December 2015 meeting, market reaction was one of disappointment as more had been expected.
International equities suffered a rout at the beginning of 2016, triggered by investor concerns of an intensifying economic slowdown in China and exacerbated by an oil price plunge. Sentiment improved following a dovish January ECB press conference and the BoJ’s introduction of negative interest rates. In turn, international equities stabilized a bit in February 2016. However, the MSCI® EAFE Index still fell 1.83% in February 2016. In March 2016, further central bank dovishness, along with receding global economic concerns and oil price stabilization, helped to finally drive a global equity market recovery. Notably, the ECB implemented heavy easing, cutting its deposit rate to -40 basis points, raising its monthly quantitative easing purchases, including corporate bonds, and unveiling a new series of four-year loans to banks. The BoJ left its monetary policy unchanged in March 2016, but its rhetoric about negative interest rates heightened expectations for further easing to come.
Market sentiment appeared to remain optimistic in April 2016, as oil prices rose and Chinese economic growth concerns abated with modestly improving economic data. Both the ECB and BoJ were on hold in April 2016, not making any changes to their monetary policies. BoJ inaction came as a major disappointment against expectations of further easing, causing international equities to sell off once again and the yen to appreciate. Relative currency appreciation was exacerbated by U.S. dollar weakness following a weaker than expected first quarter U.S. Gross Domestic Product (“GDP”) release and an uneventful Fed meeting during which rates were left unchanged. In May 2016, disappointing payroll data drove expectations for a Fed hike in June 2016 temporarily lower, but subsequent hawkish Fed meeting minutes revived the market-implied probability. Equities rallied toward month-end on anticipation of better economic data, rising oil prices and optimism that the economy could withstand interest rate hikes. Japanese equities also benefited from stronger than expected first quarter GDP growth and a weaker yen. Markets were dominated in June 2016 by the U.K. referendum on whether to leave the European Union. International equities declined in the global sell-off in late June 2016 following the surprise “leave” result, popularly known as “Brexit”. Markets later rebounded, likely owing to improving risk appetite, as markets digested the outcome and
| * | All index returns are expressed in U.S. dollar terms. |
2
MARKET REVIEW
on dovish remarks from Bank of England (“BoE”) Governor Carney. However, the MSCI® EAFE Index still declined 3.36% in June 2016.
International equities rallied strongly in July 2016, buoyed by expectations of easier monetary policy and a rebound in risk appetite, despite the increased uncertainty post Brexit. Sentiment was propped up as BoE Governor Carney hinted at monetary easing during the summer. In August 2016, the BoE delivered, cutting U.K. policy rates by 25 basis points and introducing a significant extension to its quantitative easing program. However, investor concerns about the impending U.S. interest rate hike intensified following a strong July 2016 U.S. jobs report and Fed Chair Janet Yellen’s hawkish Jackson Hole speech. In September 2016, equities fell on the ECB’s lack of commitment to extending monetary easing beyond March 2017. However, there was a subsequent rebound following Fed and BoJ decisions, which markets viewed as generally benign — the Fed left rates unchanged, while the BoJ introduced a 0% target for its 10-year government bond yield to exercise “yield curve control.” (Yield curve indicates the spectrum of maturities within a particular sector.)
In October 2016, ECB minutes stressed a commitment to continued monthly bond-buying of 80 billion euros at least through March 2017, helping to dispel earlier concerns about potential tapering. The U.K.’s first official GDP growth figures since the Brexit vote were more robust than the consensus expected at 0.5%. Japanese equities enjoyed strong performance owing to weakness of the Japanese yen, as BoJ governor Kuroda stated there was room for further easing if necessary to achieve the 2% inflation target.
During the Reporting Period, materials, industrials, energy, information technology and real estate were the only sectors in the MSCI® EAFE Index to post a positive return. The weakest performing sectors in the MSCI® EAFE Index during the Reporting Period were health care, financials and consumer discretionary.
From a country perspective, Australia and Japan were the only constituents of the MSCI® EAFE Index to post a positive return during the Reporting Period. Italy was the weakest individual country constituent in the MSCI® EAFE Index during the Reporting Period, followed at some distance by the U.K., Ireland and Spain.
Looking Ahead
At the end of the Reporting Period, we believed global equities may still generate positive low to mid-single digit returns for calendar year 2016, and, in our view, they remain attractive compared to other asset classes offering lower or even negative returns.
Central banks appear to be realizing the limits of monetary policy, and attention is increasingly turning toward potential further fiscal expansion to stimulate economic growth. A potential transition from monetary to fiscal stimulus would likely be gradual, and we believe the environment of low interest rates, low economic growth and low returns may continue for some time. In that context, we believe equities still yield the best return prospects. Moreover, a backdrop of fiscal expansion should be positive for equities if it succeeds in stimulating economic growth, in our view. We also believe equities are better positioned than fixed
3
MARKET REVIEW
income investments given increased risks of inflation, as seen potentially in virtually all forms of real assets, including infrastructure, real estate, timber, commodities and materials.
Our view on Europe has been that as long as the region can grow its economy modestly, higher operating leverage for European companies could translate into higher earnings growth, compared to U.S. companies. Indeed, Europe’s economic growth was trending at around 1% to 1.5% at the end of the Reporting Period. However, political and economic risks for Europe may increase, in our view, which may limit upside to European equities in the near to mid term. (Upside refers to the forecasted dollar amount or percentage increase in the price of an investment.) While Europe’s financial system has significantly improved, we believe, since the financial crisis, negative interest rates and regulatory uncertainty remain a headwind. Also, we believe political volatility, including uncertainty following the Brexit vote and the continued rise in populism elsewhere in the continent, remains a risk. That said, in our view, European companies offer generally higher and more stable dividend yields than U.S. companies and are well exposed to diversified international end-markets.
In Japan, we continued to focus on the non-macro drivers of equities, such as improving governance, shareholder friendly uses of cash and reasonable valuations. However, we feel upside for Japanese equities requires more evidence of macroeconomic improvement in terms of inflation or economic growth than we have seen to date. Moreover, in our view, the strong Japanese yen is likely to continue to be a headwind for Japan’s export-oriented economy and inbound tourism.
Overall, at the end of the Reporting Period, our focus remained on seeking alpha opportunities through fundamental, bottom-up security selection. (Alpha, often considered the active return on an investment, gauges the performance of an investment against a market index used as a benchmark, since market indices are often considered to represent the market’s movement as a whole. The excess returns of a fund relative to the return of a benchmark index is the fund’s alpha.) We believe active managers should have the greatest ability to respond to potential changes in the post-monetary world, and value generated through active management may well become an increasingly important contributor to returns. As always, we maintain our focus on seeking companies that we believe will generate long-term growth in today’s ever-changing market conditions.
4
PORTFOLIO RESULTS
Goldman Sachs Focused International Equity Fund
Investment Objective
The Fund seeks long-term capital appreciation.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Global Equity Team discusses the Goldman Sachs Focused International Equity Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2016 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional, Service and IR Shares generated average annual total returns, without sales charges, of -6.54%, -7.27%, -6.21%, -6.66% and -6.34%, respectively. These returns compare to the -3.22% average annual total return of the Fund’s benchmark, the Morgan Stanley Capital International (“MSCI”) Europe, Australasia, Far East (“EAFE”) Index (Net, USD, Unhedged) (the “MSCI® Index”), during the same period. |
| Since their inception on February 26, 2016, the Fund’s Class R6 Shares generated a cumulative total return, without sales charge, of 6.68%. This return compares to the 9.44% cumulative total return of the MSCI® Index during the same period. |
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | The Fund’s underperformance of the MSCI® Index during the Reporting Period can be primarily attributed to individual stock selection. Sector allocation also detracted, albeit more modestly. Country allocation contributed positively. |
| Q | Which stocks detracted significantly from the Fund’s performance during the Reporting Period? |
| A | The biggest detractors from Fund performance relative to the MSCI® Index during the Reporting Period were Banco Popular Espanol, UniCredit and Credit Suisse — each a bank in the financials sector. |
| Shares of Banco Popular Espanol were negatively affected by volatility in the Spanish equity market, largely driven by political uncertainty surrounding the December 2015 elections in Spain. These elections resulted in a hung parliament and then continued to weigh on the Spanish financial sector. We believe the concerns were transitory, as Spain’s elections have concluded and near-term economic visibility appears to be forthcoming. At the end of the Reporting Period, we continued to like the bank given its strong presence in the small to medium enterprise market and its improvements in asset quality, which we believe should stabilize and improve margins for calendar year 2016. More importantly, in our view, Banco Popular Espanol should benefit from Spain’s recovering business environment, which appears conducive to increased economic activity. |
| Shares of UniCredit sold off along with other Italian banks in January 2016 following increased concerns surrounding Italian non-performing loans. This came after the resolution of four small Italian banks at the end of 2015, which triggered the bail-in of their subordinated debt. (A non-performing loan is the sum of borrowed money upon which the debtor has not made his or her schedule payments for at least 90 days. A non-performing loan is either in default or close to being in default. A bail-in occurs when the borrower’s creditors are forced to bear some of the burden by having a portion of their debt written off.) We believe these banks represented isolated cases and that asset quality in Italy is gradually improving. At the end of the Reporting Period, we believed UniCredit remained attractively valued relative to other European banks. |
Credit Suisse’s share price came under pressure in the first part of the Reporting Period as it was in the process of raising equity. The company finished its rights issue in the second week of November 2015. (A rights issue is an issue of shares offered at a special price by a company to its existing shareholders in proportion to their holding of old shares.) However, it performed poorly following the announcement of weaker than expected fourth quarter 2015 |
5
PORTFOLIO RESULTS
results, citing difficult market conditions amidst its transition to shrink its investment bank and focus on its private bank. However, its core private bank performed well in February 2016. At the end of the Reporting Period, we believed the stock still presented significant long-term value. |
| Q | What were some of the Fund’s best-performing individual stocks? |
| A | The greatest contributors to Fund performance relative to the MSCI® Index during the Reporting Period were Covestro, Nidec and Rio Tinto. |
| Covestro is a global leader in polyurethanes and polycarbonates and operates a coatings, adhesives and specialties business. In October 2015, the German health care company Bayer conducted an initial public offering (“IPO”) for approximately 35% of its materials science business, known as Covestro. The Fund took part in the IPO, as we purchased what we believed to be a company trading at a significant discount to both its intrinsic value and its competitors in the industry. Covestro’s stock performed well, as investors began to recognize the intrinsic value of the company post-IPO, as evidenced in its increasing valuation. As a result, we exited the Fund’s position in Covestro due to the stock’s demonstrated strength. |
| Within industrials, Nidec, a Japan-based electric motors company and a leading manufacturer of small precision motors, was a top contributor to the Fund’s relative returns during the Reporting Period. Nidec performed particularly well after the company released its new fiscal year guidance. Despite the new guidance being slightly weaker than expected by the consensus, the market reacted positively to its clear medium-term growth plan, led by the automotive components segment of the company. We believe Nidec should be able to grow its presence in high margin segments and is well positioned to benefit from the ongoing increase in the number of motors installed in a car. In July 2016, Nidec reported solid results and maintained its full-year guidance, despite a negative currency impact, which we can interpret as a slight underlying upgrade. At the beginning of August 2016, the company announced an acquisition of the motor and electric power generation business segment of Emerson Electric for $1.2 billion. We think this acquisition is in line with Nidec’s goal of aggressively expanding its industrials and auto divisions given Emerson Electric’s significant exposure to the industrials and commercial segments. We also view this acquisition as complementary to Nidec’s current business and think this acquisition comes as another milestone in the company’s long-term story and shift toward new business areas. |
| U.K.-based international mining company Rio Tinto was another top positive contributor to the Fund’s relative results during the Reporting Period. We purchased the stock for the Fund in January 2016, seeing it as a high quality company in a challenged sector that had suffered significant underperformance. The stock outperformed the MSCI® Index since we purchased it in the Fund, owing primarily to a rebound in the materials sector in 2016 driven, in turn, by a recovery in metals prices. |
| Q | Which equity market sectors most significantly affected Fund performance during the Reporting Period? |
| A | The sectors that detracted most from the Fund’s relative results during the Reporting Period were financials, health care and industrials, each due primarily to weak stock selection. Having an overweighted allocation to health care, which underperformed the MSCI® Index the Reporting Period, also hurt. |
| The sectors that contributed most positively to the Fund’s performance relative to the MSCI® Index during the Reporting Period were materials, energy and consumer staples, each due primarily to effective stock selection. Sector positioning in energy added value as well. |
| Q | Which countries most affected the Fund’s performance during the Reporting Period? |
| A | Typically, the Fund’s individual stock holdings will significantly influence the Fund’s performance within a particular country or region relative to the MSCI® Index. This effect may be even more pronounced in a concentrated portfolio or in countries that represent only a modest proportion of the MSCI® Index. |
| That said, the countries that detracted most from the Fund’s performance during the Reporting Period were Spain, Australia and Italy, where stock selection overall hurt. Conversely, effective stock selection in Japan, France and Sweden boosted the Fund’s relative returns most. |
| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | During the Reporting Period, the Fund did not use derivatives or similar instruments. |
6
PORTFOLIO RESULTS
| Q | Did the Fund make any significant purchases or sales during the Reporting Period? |
| A | In addition to the purchase of Rio Tinto, already mentioned, we established a new Fund position during the Reporting Period in Japan Tobacco, a leading international tobacco company whose brands include Winston, Camel and Mevius. We expect the Japanese tobacco market to be attractive going forward driven by pricing. Furthermore, in our view, Japan Tobacco has a strong balance sheet, which it can use to create value for shareholders. |
| We initiated a Fund position in British pesticide producer Rentokil Initial. We believe the company has demonstrated a meaningful growth story over time and has attractive potential upside supported by its multi-year capital transformation story. Additionally, the firm is run by what we consider to be a high quality management team that has guided the company’s organic growth and acquisition focus. Rentokil Initial is well positioned, in our view, due to its strong market share, cost initiatives and synergies that may be realized over time. |
| Conversely, in addition to the sale of Covestro, already mentioned, we sold the Fund’s position in Swiss watch and jewelry maker Swatch. We had grown more concerned about weakness of Chinese tourist spending in both the U.S. and Japan. We believe this might translate into increased inventory and discounting within the global luxury market and might be further exacerbated by a new Chinese import tax, which could cause a decrease in overall Chinese tourist spending. This, alongside negative revisions for Swiss watch export data, posed an increased risk of further weakness in the Swatch share price, in our view. As a result of these concerns, we eliminated the Fund’s position in Swatch in May 2016 to redeploy capital to what we considered to be more appealing investment opportunities. |
| Q | Were there any notable changes in the Fund’s weightings during the Reporting Period? |
| A | In this Fund, both sector weightings and country allocations are largely the result of our bottom-up stock selection process rather than any top-down macroeconomic views or regional, country, sector or industry bets. We seek to outpace the MSCI® Index by overweighting stocks that we expect to outperform and underweighting those we think may lag. Consequently, changes in its sector or country weightings are generally the direct result of individual stock selection or of stock appreciation or depreciation. That said, during the Reporting Period, the Fund’s exposure to health care, consumer staples and telecommunication services increased relative to the MSCI® Index during the Reporting Period, while its relative exposure to financials, industrials, information technology, materials and energy decreased. From a country perspective, the Fund’s exposure to Japan, the U.K., Germany, Ireland and Sweden increased relative to the MSCI® Index, while its relative exposure to France, Switzerland and Australia decreased during the Reporting Period. |
| Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | There were no material changes to the Fund’s portfolio management team during the Reporting Period. |
| Q | How was the Fund positioned relative to the MSCI® Index at the end of the Reporting Period? |
| A | At the end of the Reporting Period, the Fund had more exposure to Japan, the U.K., France, Germany, Ireland and Denmark and less exposure to Australia and Switzerland relative to the MSCI® Index. At the end of the Reporting Period, the Fund held neutral positions relative to the MSCI® Index in Spain, Sweden and Italy. |
| From a sector allocation perspective, the Fund had overweight positions relative to the MSCI® Index in industrials, health care, consumer staples and real estate at the end of the Reporting Period. On the same date, the Fund had underweighted positions compared to the MSCI® Index in financials, materials and energy and was rather neutrally weighted compared to the MSCI® Index in consumer discretionary, information technology and telecommunication services. The Fund had no exposure to the utilities sector at the end of the Reporting Period. |
| As always, we remained focused on individual stock selection, with sector and country positioning being a secondary, closely-monitored effect. |
7
FUND BASICS
Focused International Equity Fund
as of October 31, 2016
| PERFORMANCE REVIEW | ||||||||||
| November 1, 2015–October 31, 2016 | Fund Total Return (based on NAV)1 | MSCI® Index2 | ||||||||
| Class A | -6.54 | % | -3.22 | % | ||||||
| Class C | -7.27 | -3.22 | ||||||||
| Institutional | -6.21 | -3.22 | ||||||||
| Service | -6.66 | -3.22 | ||||||||
| Class IR | -6.34 | -3.22 | ||||||||
| February 26, 2016–October 31, 2016 | ||||||||||
| Class R6 | 6.68 | % | 9.44 | % | ||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The MSCI® Index is a market capitalization-weighted composite of securities in 21 developed markets. The MSCI® Index approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction for withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. MSCI® Inc. uses withholding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates. The MSCI® Index is unmanaged and the figures for the MSCI® Index do not include any deduction for fees or expenses. It is not possible to invest directly in an index. |
| STANDARDIZED TOTAL RETURNS3 | ||||||||||||||||||||
| For the period ended 9/30/16 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
| Class A | -3.42 | % | 5.58 | % | -0.52 | % | 3.95 | % | 12/01/92 | |||||||||||
| Class C | 0.38 | 5.99 | -0.70 | 1.31 | 8/15/97 | |||||||||||||||
| Institutional | 2.58 | 7.23 | 0.45 | 3.71 | 2/07/96 | |||||||||||||||
| Service | 2.04 | 6.68 | -0.06 | 3.11 | 3/06/96 | |||||||||||||||
| Class IR | 2.42 | 7.07 | N/A | 4.77 | 8/31/10 | |||||||||||||||
| Class R6 | N/A | N/A | N/A | 9.70 | 2/26/16 | |||||||||||||||
| 3 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Class IR and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
8
FUND BASICS
| EXPENSE RATIOS4 | ||||||||||
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Class A | 1.30 | % | 1.64 | % | ||||||
| Class C | 2.05 | 2.39 | ||||||||
| Institutional | 0.90 | 1.24 | ||||||||
| Service | 1.40 | 1.73 | ||||||||
| Class IR | 1.05 | 1.39 | ||||||||
| Class R6 | 0.88 | 1.22 | ||||||||
| 4 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least February 26, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
| TOP TEN HOLDINGS AS OF 10/31/165 | ||||||||||
| Holding | % of Net Assets | Line of Business | Country | |||||||
| Mitsubishi Estate Co. Ltd. | 4.4 | % | Real Estate | Japan | ||||||
| Bayer AG (Registered) | 4.1 | Pharmaceuticals, Biotechnology & Life Sciences | Germany | |||||||
| Royal Dutch Shell plc Class A | 3.8 | Energy | Netherlands | |||||||
| Hoya Corp. | 3.5 | Health Care Equipment & Services | Japan | |||||||
| Bank of Ireland | 3.4 | Banks | Ireland | |||||||
| Credit Suisse Group AG (Registered) | 3.3 | Diversified Financials | Switzerland | |||||||
| Dentsu, Inc. | 3.3 | Media | Japan | |||||||
| Beiersdorf AG | 3.2 | Household & Personal Products | Germany | |||||||
| Nidec Corp. | 3.2 | Capital Goods | Japan | |||||||
| Publicis Groupe SA | 3.2 | Media | France | |||||||
| 5 | The top 10 holdings may not be representative of the Fund’s future investments. |
9
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of October 31, 2016 |
| 6 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Underlying sector allocations of Exchange Traded Funds and Investment Companies held by the Fund are not reflected in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. |
10
GOLDMAN SACHS FOCUSED INTERNATIONAL EQUITY FUND
Performance Summary
October 31, 2016
The following graph shows the value, as of October 31, 2016, of a $1,000,000 investment made on November 1, 2006 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the MSCI® EAFE Index (Net, USD, Unhedged) is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations may cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class A, Class C, Service, Class IR and Class R6 Shares will vary from Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting the Fund.
| Focused International Equity Fund’s 10 Year Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from November 1, 2006 through October 31, 2016.
| Average Annual Total Return through October 31, 2016 | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A (Commenced December 1, 1992) | ||||||||||||||
Excluding sales charges | -6.54% | 4.66% | -0.62% | 4.06% | ||||||||||
Including sales charges | -11.68% | 3.48% | -1.17% | 3.82% | ||||||||||
| ||||||||||||||
Class C (Commenced August 15, 1997) | ||||||||||||||
Excluding contingent deferred sales charges | -7.27% | 3.88% | -1.35% | 1.15% | ||||||||||
Including contingent deferred sales charges | -8.20% | 3.88% | -1.35% | 1.15% | ||||||||||
| ||||||||||||||
Institutional (Commenced February 7, 1996) | -6.21% | 5.09% | -0.22% | 3.56% | ||||||||||
| ||||||||||||||
Service (Commenced March 6, 1996) | -6.66% | 4.55% | -0.72% | 2.96% | ||||||||||
| ||||||||||||||
Class IR (Commenced August 31, 2010) | -6.34% | 4.93% | N/A | 4.23% | ||||||||||
| ||||||||||||||
Class R6 (Commenced February 26, 2016) | N/A | N/A | N/A | 6.68%* | ||||||||||
| ||||||||||||||
| * | Total return for periods of less than one year represents cumulative total return. |
11
PORTFOLIO RESULTS
Goldman Sachs Strategic International Equity Fund
Investment Objective
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Global Equity Team discusses the Goldman Sachs Strategic International Equity Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2016 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional, IR and R Shares generated average annual total returns, without sales charges, of -6.69%, -7.37%, -6.31%, -6.43% and -6.87%, respectively. These returns compare to the -3.22% average annual total return of the Fund’s benchmark, the Morgan Stanley Capital International (“MSCI”) Europe, Australasia, Far East (“EAFE”) Index (Net, USD, Unhedged) (the “MSCI® Index”), during the same period. |
| Since their inception on February 26, 2016, the Fund’s Class R6 Shares generated a cumulative total return, without sales charge, of 5.99%. This return compares to the 9.44% cumulative total return of the MSCI® Index during the same period. |
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | The Fund’s underperformance of the MSCI® Index during the Reporting Period can be primarily attributed to individual stock selection. Country and sector allocation also detracted, albeit more modestly. |
| Q | Which stocks detracted significantly from the Fund’s performance during the Reporting Period? |
| A | Among the biggest detractors from Fund performance relative to the MSCI® Index during the Reporting Period were three banks in the financials sector — Banco Popular Espanol, UniCredit and Credit Suisse. |
| Shares of Banco Popular Espanol were negatively affected by volatility in the Spanish equity market, largely driven by political uncertainty surrounding the December 2015 elections in Spain. These elections resulted in a hung parliament and then continued to weigh on the Spanish financial sector. We believe the concerns were transitory, as Spain’s elections have concluded and near-term economic visibility appears to be forthcoming. At the end of the Reporting Period, we continued to like the bank given its strong presence in the small to medium enterprise market and its improvements in asset quality, which we believe should stabilize and improve margins for calendar year 2016. More importantly, in our view, Banco Popular Espanol should benefit from Spain’s recovering business environment, which appears conducive to increased economic activity. |
| Shares of UniCredit sold off along with other Italian banks in January 2016 following increased concerns surrounding Italian non-performing loans. This came after the resolution of four small Italian banks at the end of 2015, which triggered the bail-in of their subordinated debt. (A non-performing loan is the sum of borrowed money upon which the debtor has not made his or her schedule payments for at least 90 days. A non-performing loan is either in default or close to being in default. A bail-in occurs when the borrower’s creditors are forced to bear some of the burden by having a portion of their debt written off.) We believe these banks represented isolated cases and that asset quality in Italy is gradually improving. At the end of the Reporting Period, we believed UniCredit remained attractively valued relative to other European banks. |
Credit Suisse’s share price came under pressure in the first part of the Reporting Period, as it was in the process of raising equity. The company finished its rights issue in the second week of November 2015. However, it performed poorly following the announcement of weaker than expected fourth quarter 2015 results, citing difficult market conditions amidst its transition to shrink its investment bank and focus on its private bank. However, its core private bank performed |
12
PORTFOLIO RESULTS
well in February 2016. At the end of the Reporting Period, we believed the stock still presented significant long-term value. |
| Q | What were some of the Fund’s best-performing individual stocks? |
| A | The greatest contributors to Fund performance relative to the MSCI® Index during the Reporting Period were Covestro, Nidec and Adidas. |
| Covestro is a global leader in polyurethanes and polycarbonates and operates a coatings, adhesives and specialties business. In October 2015, the German health care company Bayer conducted an initial public offering (“IPO”) for approximately 35% of its materials science business, known as Covestro. The Fund took part in the IPO, as we purchased what we believed to be a company trading at a significant discount to both its intrinsic value and its competitors in the industry. Covestro’s stock performed well, as investors began to recognize the intrinsic value of the company post-IPO, as evidenced in its increasing valuation. As a result, we exited the Fund’s position in Covestro due to the stock’s demonstrated strength. |
| Within industrials, Nidec, a Japan-based electric motors company and a leading manufacturer of small precision motors, was a top contributor to the Fund’s relative returns during the Reporting Period. Nidec performed particularly well after the company released its new fiscal year guidance. Despite the new guidance being slightly weaker than expected by the consensus, the market reacted positively to its clear medium-term growth plan, led by the automotive components segment of the company. We believe Nidec should be able to grow its presence in high margin segments and is well positioned to benefit from the ongoing increase in the number of motors installed in a car. In July 2016, Nidec reported solid results and maintained its full-year guidance, despite a negative currency impact, which we can interpret as a slight underlying upgrade. At the beginning of August 2016, the company announced an acquisition of the motor and electric power generation business segment of Emerson Electric for $1.2 billion. We think this acquisition is in line with Nidec’s goal of aggressively expanding its industrials and auto divisions given Emerson Electric’s significant exposure to the industrials and commercial segments. We also view this acquisition as complementary to Nidec’s current business and think this acquisition comes as another milestone in the company’s long-term story and shift toward new business areas. |
| Also contributing positively to the Fund’s relative performance during the Reporting Period was Adidas, the German-based sports apparel and equipment company. Its stock performed strongly after its management raised its full-year gross margin guidance in November 2015. Furthermore, the company reported consensus-beating third quarter 2015 sales, which further boosted share price performance. In December 2015, the company posted better than consensus-expected third quarter 2015 results and raised the midpoint of its full-year gross margin guidance. The company subsequently reported strong first quarter 2016 results and revised its earnings before interest and taxes margin guidance upward. Additionally, news that Adidas had opted to enter talks to sell part of its golf unit was well received by the market, as this segment has hindered performance in the recent past and showed that its management is focusing on its core performing businesses, Adidas and Reebok. At the end of the Reporting Period, we continued to like the company’s strong global brand but believed its valuation appeared stretched, and thus we decided to sell the Fund’s position and reallocate proceeds to what we considered to be more appealing investment opportunities. |
| Q | Which equity market sectors most significantly affected Fund performance during the Reporting Period? |
| A | The biggest detractors from the Fund’s results during the Reporting Period were financials, health care and materials, where weak stock selection in each hurt. Having an underweight to materials, which significantly outperformed the MSCI® Index during the Reporting Period, also detracted. |
| The sectors that contributed most to the Fund’s performance relative to the MSCI® Index were industrials, information technology and consumer staples. Stock selection in all three sectors proved effective during the Reporting Period as did allocation positioning in information technology and consumer staples. |
| Q | Which countries most affected the Fund’s performance during the Reporting Period? |
| A | Typically, the Fund’s individual stock holdings will significantly influence the Fund’s performance within a particular country or region relative to the MSCI® Index. This effect may be even more pronounced in countries that represent only a modest proportion of the MSCI® Index. |
That said, the countries that detracted most from the Fund’s relative performance were Switzerland, Italy and Spain, |
13
PORTFOLIO RESULTS
where stock selection overall hurt. Conversely, effective individual stock selection in the U.K., Japan and Germany contributed most positively to the Fund’s results relative to the MSCI® Index. |
| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | During the Reporting Period, the Fund did not use derivatives or similar instruments. |
| Q | Did the Fund make any significant purchases or sales during the Reporting Period? |
| A | During the Reporting Period, we purchased Fund positions in Intercontinental Hotels, Merlin Entertainment and Moncler. |
| We initiated a Fund position in U.K.-domiciled hotel group Intercontinental Hotels, which owns and manages mainstream to luxury hotel brands, such as Holiday Inn, Crowne Plaza and InterContinental. With less than 10% of its revenues from the U.K., we believe the firm’s strategy to focus on managing rather than owning a range of hotel brands has transformed its cash generating power. Backed by what we view as an excellent operating system, further initiatives to improve its performance and brand differentiation should, in our opinion, continue to drive returns for a company we believe was attractively priced at the time of purchase. |
| We established a Fund position in U.K.-domiciled Merlin Entertainment, the world’s second-largest theme park operator behind Disney, operating 114 attractions in 23 countries across four continents and most known for Legoland, Madame Tussauds and Sea Life. Approximately 30% of its revenue is from the U.K. As such, a weaker British pound, in our view, should 1) boost tourism into the country; 2) mean U.K. residents prefer “staycations,” or vacationing at home, as opposed to more expensive holidays abroad, and 3) translate into higher profits from its 70% business outside the U.K. We believe the company has attractive growth prospects and has a track record of spending its cash flow on such growth opportunities. |
| We initiated a Fund position in Moncler, a French/Italian apparel brand, most known for its down jackets and sportswear. The company operates in a niche segment of luxury, where there is little competition and where it has continued to have strong momentum. We believe the company should benefit as the “affordable luxury” segment gains traction with millennials. There is substantial growth potential compared to other luxury brands, in our opinion, which have already over-expanded and are now seeing declining revenue growth. Moncler’s management team is thoughtful, in our view, about the longer-term sustainability of its business, recently choosing to bring its production in house, focus on new product lines and invest in digital/ online. Its stock underperformed the MSCI® Index during the Reporting Period due to warm weather, weak sentiment around exposure to China and a small change in business strategy that concerned the market but which we view as positive. We see each of these headwinds as short-term and believe they created an attractive entry point for the Fund. |
| Conversely, in addition to the sale of Adidas, already mentioned, we sold out of the Fund’s positions in Start Today and Total during the Reporting Period. We sold the Fund’s position in Start Today, a Japan-based online apparel shopping site, following a period of strong performance and as we viewed its valuation to have become stretched. We exited the Fund’s position in French integrated oil company Total following a span of relative outperformance. We decided to redeploy capital in other opportunities in the energy sector. |
| Q | Were there any notable changes in the Fund’s weightings during the Reporting Period? |
| A | In this Fund, both sector weightings and country allocations are largely the result of our bottom-up stock selection process rather than any top-down macroeconomic views or regional, country, sector or industry bets. We seek to outpace the MSCI® Index by overweighting stocks that we expect to outperform and underweighting those we think may lag. Consequently, changes in its sector or country weightings are generally the direct result of individual stock selection or of stock appreciation or depreciation. That said, during the Reporting Period, the Fund’s exposure to consumer staples, industrials, telecommunication services and utilities increased relative to the MSCI® Index during the Reporting Period, while its relative exposure to financials, information technology and energy decreased. From a country perspective, the Fund’s exposure to Japan, the U.K. and Italy increased relative to the MSCI® Index, while its relative exposure to Germany, France and Australia decreased during the Reporting Period. |
14
PORTFOLIO RESULTS
| Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | There were no material changes to the Fund’s portfolio management team during the Reporting Period. |
| Q | How was the Fund positioned relative to the MSCI® Index at the end of the Reporting Period? |
| A | At the end of the Reporting Period, the Fund had more exposure to the U.K., Italy, Ireland and Belgium relative to the MSCI® Index and less exposure to Japan, France and Australia relative to the MSCI® Index. At the end of the Reporting Period, the Fund held neutral positions relative to the MSCI® Index in several countries, most notably Switzerland, Spain, Sweden Denmark and Germany. |
| From a sector allocation perspective, the Fund had overweight positions relative to the MSCI® Index in consumer staples at the end of the Reporting Period. On the same date, the Fund had underweighted positions compared to the MSCI® Index in financials, industrials, consumer discretionary and materials and rather neutral positions relative to the MSCI® Index in health care, telecommunication services, utilities, information technology, energy and real estate. |
| As always, we remained focused on individual stock selection, with sector and country positioning being a secondary, closely-monitored effect. |
15
FUND BASICS
Strategic International Equity Fund
as of October 31, 2016
| PERFORMANCE REVIEW | ||||||||||
| November 1, 2015–October 31, 2016 | Fund Total Return (based on NAV)1 | MSCI® Index2 | ||||||||
| Class A | -6.69 | % | -3.22 | % | ||||||
| Class C | -7.37 | -3.22 | ||||||||
| Institutional | -6.31 | -3.22 | ||||||||
| Class IR | -6.43 | -3.22 | ||||||||
| Class R | -6.87 | -3.22 | ||||||||
| February 26, 2016–October 31, 2016 | ||||||||||
| Class R6 | 5.99 | % | 9.44 | % | ||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The MSCI® Index is a market capitalization-weighted composite of securities in 22 developed markets. The MSCI® Index approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction for withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. MSCI® Inc. uses withholding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates. The MSCI® Index is unmanaged and the figures for the MSCI® Index do not include any deduction for fees or expenses. It is not possible to invest directly in an index. |
| STANDARDIZED TOTAL RETURNS3 | ||||||||||||||||
| For the period ended 9/30/16 | One Year | FIve Years | Since Inception | Inception Date | ||||||||||||
| Class A | -2.82 | % | 5.94 | % | -1.44 | % | 6/25/07 | |||||||||
| Class C | 1.03 | 6.33 | -1.59 | 6/25/07 | ||||||||||||
| Institutional | 3.18 | 7.57 | -0.46 | 6/25/07 | ||||||||||||
| Class IR | 3.09 | 7.41 | -1.41 | 11/30/07 | ||||||||||||
| Class R | 2.57 | 6.88 | -1.96 | 11/30/07 | ||||||||||||
| Class R6 | N/A | N/A | 10.04 | 2/26/16 | ||||||||||||
| 3 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
16
FUND BASICS
| EXPENSE RATIOS4 | ||||||||||
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Class A | 1.30 | % | 1.82 | % | ||||||
| Class C | 2.05 | 2.57 | ||||||||
| Institutional | 0.90 | 1.42 | ||||||||
| Class IR | 1.05 | 1.56 | ||||||||
| Class R | 1.55 | 2.07 | ||||||||
| Class R6 | 0.88 | 1.40 | ||||||||
| 4 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least February 26, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
17
FUND BASICS
| TOP TEN HOLDINGS AS OF 10/31/165 | ||||||||||
| Holding | % of Net Assets | Line of Business | Country | |||||||
| Royal Dutch Shell plc Class A | 4.2 | % | Energy | Netherlands | ||||||
| Anheuser-Busch InBev SA/NV | 3.4 | Food, Beverage & Tobacco | Belgium | |||||||
| Novartis AG (Registered) | 2.8 | Pharmaceuticals, Biotechnology & Life Sciences | Switzerland | |||||||
| Japan Tobacco, Inc. | 2.7 | Food, Beverage & Tobacco | Japan | |||||||
| Beiersdorf AG | 2.4 | Household & Personal Products | Germany | |||||||
| Mitsubishi Estate Co. Ltd. | 2.3 | Real Estate | Japan | |||||||
| Bayer AG (Registered) | 2.3 | Pharmaceuticals, Biotechnology & Life Sciences | Germany | |||||||
| Kerry Group plc Class A | 2.1 | Food, Beverage & Tobacco | Ireland | |||||||
| Australia & New Zealand Banking Group Ltd. | 2.0 | Banks | Australia | |||||||
| Kao Corp. | 2.0 | Household & Personal Products | Japan | |||||||
| 5 | The top 10 holdings may not be representative of the Fund’s future investments. |
18
FUND BASICS
| FUND VS. BENCH MARK SECTOR ALLOCATIONS6 | ||
| As of October 31, 2016 |
| 6 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Underlying sector allocations of exchange traded funds and investment companies held by the Fund are not reflected in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. |
19
GOLDMAN SACHS STRATEGIC INTERNATIONAL EQUITY FUND
Performance Summary
October 31, 2016
The following graph shows the value, as of October 31, 2016, of a $1,000,000 investment made on June 25, 2007 (commencement of operations) in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the MSCI® EAFE Index (Net, USD, Unhedged) is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations may cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class A, Class C, Class IR, Class R and Class R6 Shares will vary from Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting the Fund.
| Strategic International Equity Fund’s Lifetime Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from June 25, 2007 through October 31, 2016.
| Average Annual Total Return through October 31, 2016 | One Year | Five Years | Since Inception | |||||||
Class A (Commenced June 25, 2007) | ||||||||||
Excluding sales charges | -6.69% | 4.69% | -1.23% | |||||||
Including sales charges | -11.78% | 3.51% | -1.83% | |||||||
| ||||||||||
Class C (Commenced June 25, 2007) | ||||||||||
Excluding contingent deferred sales charges | -7.37% | 3.90% | -1.97% | |||||||
Including contingent deferred sales charges | -8.29% | 3.90% | -1.97% | |||||||
| ||||||||||
Institutional (Commenced June 25, 2007) | -6.31% | 5.10% | -0.85% | |||||||
| ||||||||||
Class IR (Commenced November 30, 2007) | -6.43% | 4.95% | -1.82% | |||||||
| ||||||||||
Class R (Commenced November 30, 2007) | -6.87% | 4.43% | -2.35% | |||||||
| ||||||||||
Class R6 (Commenced February 26, 2016) | N/A | N/A | 5.99%* | |||||||
| ||||||||||
| * | Total return for periods of less than one year represents cumulative total return. |
20
GOLDMAN SACHS FOCUSED INTERNATIONAL EQUITY FUND
Schedule of Investments
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – 96.3% | ||||||||
| Australia – 2.3% | ||||||||
| 739,819 | Computershare Ltd. (Software & Services) | $ | 5,926,177 | |||||
|
| |||||||
| Denmark – 2.7% | ||||||||
| 194,335 | Novo Nordisk A/S Class B (Pharmaceuticals, Biotechnology & Life Sciences) | 6,923,283 | ||||||
|
| |||||||
| France – 12.1% | ||||||||
| 175,394 | Klepierre (REIT) | 7,167,962 | ||||||
| 119,566 | Publicis Groupe SA (Media) | 8,202,196 | ||||||
| 353,989 | Rexel SA (Capital Goods) | 4,909,559 | ||||||
| 75,090 | Safran SA (Capital Goods) | 5,167,044 | ||||||
| 74,751 | Vinci SA (Capital Goods) | 5,413,431 | ||||||
|
| |||||||
| 30,860,192 | ||||||||
|
| |||||||
| Germany – 11.8% | ||||||||
| 104,847 | Bayer AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 10,410,226 | ||||||
| 93,723 | Beiersdorf AG (Household & Personal Products) | 8,262,589 | ||||||
| 672,512 | Commerzbank AG (Banks) | 4,579,956 | ||||||
| 80,397 | SAP SE (Software & Services) | 7,082,930 | ||||||
|
| |||||||
| 30,335,701 | ||||||||
|
| |||||||
| Ireland – 5.2% | ||||||||
| 40,724,220 | Bank of Ireland (Banks)* | 8,813,727 | ||||||
| 1,231,542 | C&C Group plc (Food, Beverage & Tobacco) | 4,725,208 | ||||||
|
| |||||||
| 13,538,935 | ||||||||
|
| |||||||
| Italy – 1.5% | ||||||||
| 1,536,190 | UniCredit SpA (Banks) | 3,812,226 | ||||||
|
| |||||||
| Japan – 25.8% | ||||||||
| 168,600 | Dentsu, Inc. (Media) | 8,404,581 | ||||||
| 217,200 | Hoya Corp. (Health Care Equipment & Services) | 9,062,452 | ||||||
| 460,200 | Isuzu Motors Ltd. (Automobiles & Components) | 5,692,286 | ||||||
| 205,600 | Japan Tobacco, Inc. (Food, Beverage & Tobacco) | 7,816,938 | ||||||
| 567,000 | Mitsubishi Estate Co. Ltd. (Real Estate) | 11,269,028 | ||||||
| 85,000 | Nidec Corp. (Capital Goods) | 8,224,608 | ||||||
| 313,600 | ORIX Corp. (Diversified Financials) | 4,969,431 | ||||||
| 62,000 | Pola Orbis Holdings, Inc. (Household & Personal Products) | 5,158,978 | ||||||
| 159,900 | Sumitomo Mitsui Financial Group, Inc. (Banks) | 5,544,004 | ||||||
|
| |||||||
| 66,142,306 | ||||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Netherlands – 3.9% | ||||||||
| 395,860 | Royal Dutch Shell plc Class A (Energy) | $ | 9,859,698 | |||||
|
| |||||||
| Spain – 3.9% | ||||||||
| 3,982,016 | Banco Popular Espanol SA (Banks) | 4,356,855 | ||||||
| 345,449 | Cellnex Telecom SA (Telecommunication Services)(a) | 5,665,015 | ||||||
|
| |||||||
| 10,021,870 | ||||||||
|
| |||||||
| Sweden – 3.0% | ||||||||
| 268,456 | Hennes & Mauritz AB Class B (Retailing) | 7,549,695 | ||||||
|
| |||||||
| Switzerland – 8.7% | ||||||||
| 614,504 | Credit Suisse Group AG (Registered) (Diversified Financials)* | 8,574,036 | ||||||
| 14,405 | Syngenta AG (Registered) (Materials) | 5,764,390 | ||||||
| 155,304 | Wolseley plc (Capital Goods) | 8,055,535 | ||||||
|
| |||||||
| 22,393,961 | ||||||||
|
| |||||||
| United Kingdom – 12.7% | ||||||||
| 606,798 | BTG plc (Pharmaceuticals, Biotechnology & Life Sciences)* | 4,882,887 | ||||||
| 2,011,667 | Melrose Industries plc (Capital Goods) | 4,151,464 | ||||||
| 82,636 | Reckitt Benckiser Group plc (Household & Personal Products) | 7,392,658 | ||||||
| 1,871,934 | Rentokil Initial plc (Commercial & Professional Services) | 5,221,425 | ||||||
| 175,519 | Rio Tinto plc (Materials) | 6,103,727 | ||||||
| 1,747,801 | Vodafone Group plc (Telecommunication Services) | 4,800,032 | ||||||
|
| |||||||
| 32,552,193 | ||||||||
|
| |||||||
| United States – 2.7% | ||||||||
| 121,649 | Shire plc (Pharmaceuticals, Biotechnology & Life Sciences) | 6,868,631 | ||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $279,323,278) | $ | 246,784,868 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 21 |
GOLDMAN SACHS FOCUSED INTERNATIONAL EQUITY FUND
Schedule of Investments (continued)
October 31, 2016
| Shares | Distribution Rate | Value | ||||||||
| Investment Company(b)(c) – 0.3% | ||||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||||
| 818,819 | 0.295 | % | $ | 818,819 | ||||||
| (Cost $818,819) | ||||||||||
|
| |||||||||
| TOTAL INVESTMENTS – 96.6% | ||||||||||
| (Cost $280,142,097) | $ | 247,603,687 | ||||||||
|
| |||||||||
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 3.4% | | 8,662,447 | |||||||
|
| |||||||||
| NET ASSETS – 100.0% | $ | 256,266,134 | ||||||||
|
| |||||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||||
* | Non-income producing security. | |||
(a) | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $5,665,015, which represents approximately 2.2% of net assets as of October 31, 2016. | |||
(b) | Represents an affiliated issuer. | |||
(c) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on October 31, 2016.
| |||
| ||||
Investment Abbreviation: | ||||
REIT | —Real Estate Investment Trust | |||
| ||||
| 22 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS STRATEGIC INTERNATIONAL EQUITY FUND
Schedule of Investments
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – 95.3% | ||||||||
| Australia – 3.9% | ||||||||
| 62,359 | Australia & New Zealand Banking Group Ltd. (Banks) | $ | 1,316,736 | |||||
| 29,578 | BHP Billiton plc (Materials) | 444,766 | ||||||
| 95,813 | Computershare Ltd. (Software & Services) | 767,492 | ||||||
|
| |||||||
| 2,528,994 | ||||||||
|
| |||||||
| Austria – 1.2% | ||||||||
| 27,481 | ams AG (Semiconductors & Semiconductor Equipment) | 769,496 | ||||||
|
| |||||||
| Belgium – 3.4% | ||||||||
| 19,244 | Anheuser-Busch InBev SA/NV (Food, Beverage & Tobacco) | 2,208,629 | ||||||
|
| |||||||
| China – 0.6% | ||||||||
| 212,000 | China Mengniu Dairy Co. Ltd. (Food, Beverage & Tobacco) | 400,472 | ||||||
|
| |||||||
| Denmark – 2.4% | ||||||||
| 27,926 | Novo Nordisk A/S Class B (Pharmaceuticals, Biotechnology & Life Sciences) | 994,878 | ||||||
| 15,431 | Novozymes A/S Class B (Materials) | 572,441 | ||||||
|
| |||||||
| 1,567,319 | ||||||||
|
| |||||||
| France – 7.9% | ||||||||
| 9,486 | Air Liquide SA (Materials) | 963,897 | ||||||
| 24,981 | Klepierre (REIT) | 1,020,918 | ||||||
| 14,444 | Publicis Groupe SA (Media) | 990,855 | ||||||
| 24,820 | Rexel SA (Capital Goods) | 344,235 | ||||||
| 11,894 | Safran SA (Capital Goods) | 818,442 | ||||||
| 13,878 | Vinci SA (Capital Goods) | 1,005,038 | ||||||
|
| |||||||
| 5,143,385 | ||||||||
|
| |||||||
| Germany – 8.4% | ||||||||
| 14,849 | Bayer AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 1,474,353 | ||||||
| 17,865 | Beiersdorf AG (Household & Personal Products) | 1,574,973 | ||||||
| 73,283 | Commerzbank AG (Banks) | 499,073 | ||||||
| 15,869 | GEA Group AG (Capital Goods) | 614,636 | ||||||
| 14,658 | SAP SE (Software & Services) | 1,291,361 | ||||||
|
| |||||||
| 5,454,396 | ||||||||
|
| |||||||
| Ireland – 3.9% | ||||||||
| 5,408,067 | Bank of Ireland (Banks)* | 1,170,439 | ||||||
| 18,644 | Kerry Group plc Class A (Food, Beverage & Tobacco) | 1,355,418 | ||||||
|
| |||||||
| 2,525,857 | ||||||||
|
| |||||||
| Italy – 5.7% | ||||||||
| 168,414 | Enav SpA (Transportation)*(a) | 627,471 | ||||||
| 273,824 | Enel SpA (Utilities) | 1,177,262 | ||||||
| 32,963 | Moncler SpA (Consumer Durables & Apparel) | 548,766 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Italy – (continued) | ||||||||
| 1,048,122 | Telecom Italia SpA (Telecommunication Services)* | $ | 911,126 | |||||
| 174,719 | UniCredit SpA (Banks) | 433,584 | ||||||
|
| |||||||
| 3,698,209 | ||||||||
|
| |||||||
| Japan – 20.7% | ||||||||
| 6,900 | Dentsu, Inc. (Media) | 343,960 | ||||||
| 7,800 | East Japan Railway Co. (Transportation) | 686,622 | ||||||
| 26,400 | HIS Co. Ltd. (Consumer Services) | 720,532 | ||||||
| 9,200 | Hoshizaki Corp. (Capital Goods) | 830,285 | ||||||
| 29,900 | Hoya Corp. (Health Care Equipment & Services) | 1,247,547 | ||||||
| 45,700 | Japan Tobacco, Inc. (Food, Beverage & Tobacco) | 1,737,520 | ||||||
| 25,400 | Kao Corp. (Household & Personal Products) | 1,306,996 | ||||||
| 42,100 | KDDI Corp. (Telecommunication Services) | 1,279,553 | ||||||
| 76,000 | Mitsubishi Estate Co. Ltd. (Real Estate) | 1,510,487 | ||||||
| 12,700 | Nidec Corp. (Capital Goods) | 1,228,853 | ||||||
| 57,200 | ORIX Corp. (Diversified Financials) | 906,414 | ||||||
| 8,100 | Pola Orbis Holdings, Inc. (Household & Personal Products) | 673,996 | ||||||
| 27,800 | Sumitomo Mitsui Financial Group, Inc. (Banks) | 963,873 | ||||||
|
| |||||||
| 13,436,638 | ||||||||
|
| |||||||
| Netherlands – 4.2% | ||||||||
| 109,539 | Royal Dutch Shell plc Class A (Energy) | 2,728,292 | ||||||
|
| |||||||
| Singapore – 1.7% | ||||||||
| 102,993 | DBS Group Holdings Ltd. (Banks) | 1,110,131 | ||||||
|
| |||||||
| Spain – 5.0% | ||||||||
| 165,230 | Banco Bilbao Vizcaya Argentaria SA (Banks) | 1,189,439 | ||||||
| 345,749 | Banco Popular Espanol SA (Banks) | 378,295 | ||||||
| 86,118 | EDP Renovaveis SA (Utilities) | 650,566 | ||||||
| 148,553 | Iberdrola SA (Utilities) | 1,010,971 | ||||||
|
| |||||||
| 3,229,271 | ||||||||
|
| |||||||
| Sweden – 3.3% | ||||||||
| 38,585 | Hennes & Mauritz AB Class B (Retailing) | 1,085,112 | ||||||
| 36,911 | Svenska Cellulosa AB SCA Class B (Household & Personal Products) | 1,045,424 | ||||||
|
| |||||||
| 2,130,536 | ||||||||
|
| |||||||
| Switzerland – 9.2% | ||||||||
| 89,021 | Credit Suisse Group AG (Registered) (Diversified Financials)* | 1,242,090 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS STRATEGIC INTERNATIONAL EQUITY FUND
Schedule of Investments (continued)
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Switzerland – (continued) | ||||||||
| 25,433 | Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | $ | 1,804,919 | |||||
| 2,787 | Syngenta AG (Registered) (Materials) | 1,115,262 | ||||||
| 57,404 | UBS Group AG (Registered) (Diversified Financials) | 811,559 | ||||||
| 19,891 | Wolseley plc (Capital Goods) | 1,031,735 | ||||||
|
| |||||||
| 6,005,565 | ||||||||
|
| |||||||
| United Kingdom – 12.1% | ||||||||
| 123,707 | Aviva plc (Insurance) | 670,341 | ||||||
| 58,176 | BTG plc (Pharmaceuticals, Biotechnology & Life Sciences)* | 468,141 | ||||||
| 25,420 | InterContinental Hotels Group plc (Consumer Services) | 985,498 | ||||||
| 67,304 | Just Eat plc (Software & Services)* | 462,332 | ||||||
| 308,010 | Melrose Industries plc (Capital Goods) | 635,638 | ||||||
| 116,721 | Merlin Entertainments plc (Consumer Services)(a) | 657,817 | ||||||
| 215,624 | Rentokil Initial plc (Commercial & Professional Services) | 601,444 | ||||||
| 15,827 | Rio Tinto plc (Materials) | 550,389 | ||||||
| 97,210 | UBM plc (Media) | 853,494 | ||||||
| 191,749 | Virgin Money Holdings UK plc (Banks) | 772,166 | ||||||
| 441,668 | Vodafone Group plc (Telecommunication Services) | 1,212,965 | ||||||
|
| |||||||
| 7,870,225 | ||||||||
|
| |||||||
| United States – 1.7% | ||||||||
| 19,212 | Shire plc (ADR) (Pharmaceuticals, Biotechnology & Life Sciences) | 1,084,761 | ||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $68,939,265) | $ | 61,892,176 | ||||||
|
| |||||||
| Shares | Description | Value | ||||||
| Exchange Traded Fund – 1.6% | ||||||||
| United States – 1.6% | ||||||||
| 82,504 | iShares MSCI Japan Fund | $ | 1,042,025 | |||||
| (Cost $1,042,850) | ||||||||
|
| |||||||
| Shares | Distribution Rate | Value | ||||||
| Investment Company(b)(c) – 1.5% | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||||
| 1,000,834 | 0.295 | % | $ | 1,000,834 | ||||
| (Cost $1,000,834) | ||||||||
| ||||||||
| TOTAL INVESTMENTS – 98.4% | ||||||||
| (Cost $70,982,949) | $ | 63,935,035 | ||||||
| ||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 1.6% | 1,040,814 | |||||||
| ||||||||
| NET ASSETS – 100.0% | $ | 64,975,849 | ||||||
| ||||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $1,285,288, which represents approximately 2.0% of net assets as of October 31, 2016. | |
(b) | Represents an affiliated issuer. | |
(c) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on October 31, 2016. | |
| ||
Investment Abbreviation: | ||
ADR | —American Depositary Receipt | |
REIT | —Real Estate Investment Trust | |
| ||
| 24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Statements of Assets and Liabilities
October 31, 2016
| Focused International Equity Fund | Strategic International Equity Fund | |||||||||
| Assets: | ||||||||||
Investments in unaffiliated issuers, at value (cost $279,323,278 and $69,982,115) | $ | 246,784,868 | $ | 62,934,201 | ||||||
Investments in affiliated issuers, at value (cost $818,819 and $1,000,834) | 818,819 | 1,000,834 | ||||||||
Cash | 3,755,610 | 978,755 | ||||||||
Foreign currencies, at value (cost $3,313 and $62,330) | 2,443 | 61,760 | ||||||||
Receivables: | ||||||||||
Fund shares sold | 7,031,293 | 19,536 | ||||||||
Investments sold | 3,949,705 | 1,092,385 | ||||||||
Foreign tax reclaims | 611,956 | 264,342 | ||||||||
Dividends | 575,483 | 115,421 | ||||||||
Reimbursement from investment adviser | 22,508 | 17,702 | ||||||||
Other assets | 70,249 | 64 | ||||||||
| Total assets | 263,622,934 | 66,485,000 | ||||||||
| Liabilities: | ||||||||||
Payables: | ||||||||||
Investments purchased | 6,456,412 | 1,220,521 | ||||||||
Fund shares redeemed | 570,361 | 144,105 | ||||||||
Management fees | 181,876 | 47,705 | ||||||||
Distribution and Service fees and Transfer Agency fees | 37,003 | 12,651 | ||||||||
Accrued expenses | 111,148 | 84,169 | ||||||||
| Total liabilities | 7,356,800 | 1,509,151 | ||||||||
| Net Assets: | ||||||||||
Paid-in capital | 416,409,641 | 100,105,264 | ||||||||
Undistributed net investment income | 6,620,678 | 1,017,102 | ||||||||
Accumulated net realized loss | (134,182,275 | ) | (29,084,006 | ) | ||||||
Net unrealized loss | (32,581,910 | ) | (7,062,511 | ) | ||||||
| NET ASSETS | $ | 256,266,134 | $ | 64,975,849 | ||||||
Net Assets: | ||||||||||
Class A | $ | 38,152,268 | $ | 18,300,619 | ||||||
Class C | 15,577,069 | 3,974,097 | ||||||||
Institutional | 201,745,680 | 42,191,052 | ||||||||
Service | 31,719 | — | ||||||||
Class IR | 748,731 | 471,226 | ||||||||
Class R | — | 28,257 | ||||||||
Class R6 | 10,667 | 10,598 | ||||||||
Total Net Assets | $ | 256,266,134 | $ | 64,975,849 | ||||||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||||||||
Class A | 2,297,596 | 1,526,389 | ||||||||
Class C | 1,013,537 | 369,652 | ||||||||
Institutional | 11,914,766 | 3,358,990 | ||||||||
Service | 1,889 | — | ||||||||
Class IR | 44,414 | 39,274 | ||||||||
Class R | — | 2,340 | ||||||||
Class R6 | 630 | 844 | ||||||||
Net asset value, offering and redemption price per share:(a) | ||||||||||
Class A | $16.61 | $11.99 | ||||||||
Class C | 15.37 | 10.75 | ||||||||
Institutional | 16.93 | 12.56 | ||||||||
Service | 16.79 | — | ||||||||
Class IR | 16.86 | 12.00 | ||||||||
Class R | — | 12.08 | ||||||||
Class R6 | 16.93 | 12.56 | ||||||||
| (a) | Maximum public offering price per share for Class A Shares of the Focused International Equity and Strategic International Equity Funds is $17.58 and $12.69, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge assessed on the amount equal to the lesser of the current NAV or the original purchase price of the shares. |
| The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Statements of Operations
For the Fiscal Year Ended October 31, 2016
| Focused International Equity Fund | Strategic International Equity Fund | |||||||||
| Investment income: | ||||||||||
Dividends — unaffiliated issuers (net of foreign taxes withheld of $440,636 and $179,512) | $ | 8,778,772 | $ | 1,972,321 | ||||||
Dividends — affiliated issuers | 1,692 | 516 | ||||||||
| Total investment income | 8,780,464 | 1,972,837 | ||||||||
| Expenses: | ||||||||||
Management fees | 2,320,617 | 608,708 | ||||||||
Distribution and Service fees(a) | 271,001 | 95,158 | ||||||||
Transfer Agency fees(a) | 182,209 | 66,984 | ||||||||
Custody, accounting and administrative services | 121,872 | 106,667 | ||||||||
Professional fees | 103,296 | 94,576 | ||||||||
Registration fees | 90,523 | 79,916 | ||||||||
Printing and mailing costs | 38,760 | 18,615 | ||||||||
Trustee fees | 20,371 | 20,025 | ||||||||
Service share fees — Service Plan | 84 | — | ||||||||
Service share fees — Shareholder Administration Plan | 84 | — | ||||||||
Other | 15,327 | 15,989 | ||||||||
| Total expenses | 3,164,144 | 1,106,638 | ||||||||
Less — expense reductions | (709,850 | ) | (327,036 | ) | ||||||
| Net expenses | 2,454,294 | 779,602 | ||||||||
| NET INVESTMENT INCOME | 6,326,170 | 1,193,235 | ||||||||
| Realized and unrealized gain (loss): | ||||||||||
Net realized gain (loss) from: | ||||||||||
Investments | (7,058,924 | ) | (561,166 | ) | ||||||
Foreign currency transactions | (143,458 | ) | 6,744 | |||||||
Net change in unrealized gain (loss) on: | ||||||||||
Investments (including the effects of the net change in the foreign capital gains tax liability of $0 and $14,023) | (16,631,620 | ) | (5,705,658 | ) | ||||||
Foreign currency translation | (9,232 | ) | 18,728 | |||||||
| Net realized and unrealized loss | (23,843,234 | ) | (6,241,352 | ) | ||||||
| NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (17,517,064 | ) | $ | (5,048,117 | ) | ||||
| (a) | Class specific Distribution and Service, and Transfer Agency fees were as follows: |
| Distribution and Service Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||||
Fund | Class A | Class C | Class R | Class A | Class C | Institutional | Service | Class IR | Class R | Class R6(b) | ||||||||||||||||||||||||||||||
Focused International Equity | $ | 105,196 | $ | 165,805 | $ | — | $ | 79,949 | $ | 31,503 | $ | 68,887 | $ | 14 | $ | 1,853 | $ | — | $ | 3 | ||||||||||||||||||||
Strategic International Equity | 51,988 | 43,085 | 85 | 39,511 | 8,186 | 18,419 | — | 833 | 33 | 2 | ||||||||||||||||||||||||||||||
| (b) | Commenced operations on February 26, 2016. |
| 26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Statements of Changes in Net Assets
| Focused International Equity Fund | Strategic International Equity Fund | |||||||||||||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||||||||||||
| From operations: | ||||||||||||||||||||||
Net investment income | $ | 6,326,170 | $ | 3,098,565 | $ | 1,193,235 | $ | 886,902 | ||||||||||||||
Net realized gain (loss) | (7,202,382 | ) | (11,319,078 | ) | (554,422 | ) | 354,960 | |||||||||||||||
Net change in unrealized gain (loss) | (16,640,852 | ) | 8,208,306 | (5,686,930 | ) | (2,049,780 | ) | |||||||||||||||
| Net decrease in net assets resulting from operations | (17,517,064 | ) | (12,207 | ) | (5,048,117 | ) | (807,918 | ) | ||||||||||||||
| Distributions to shareholders: | ||||||||||||||||||||||
From net investment income | ||||||||||||||||||||||
Class A Shares | (534,931 | ) | (1,737,059 | ) | (178,101 | ) | (849,696 | ) | ||||||||||||||
Class C Shares | (98,242 | ) | (456,968 | ) | (5,202 | ) | (152,361 | ) | ||||||||||||||
Institutional Shares | (2,308,981 | ) | (5,428,826 | ) | (638,376 | ) | (1,528,500 | ) | ||||||||||||||
Service Shares | (118 | ) | (9,843 | ) | — | — | ||||||||||||||||
Class IR Shares | (16,690 | ) | (70,733 | ) | (4,313 | ) | (5,027 | ) | ||||||||||||||
Class R Shares | — | — | (22 | ) | (557 | ) | ||||||||||||||||
| Total distributions to shareholders | (2,958,962 | ) | (7,703,429 | ) | (826,014 | ) | (2,536,141 | ) | ||||||||||||||
| From share transactions: | ||||||||||||||||||||||
Proceeds from sales of shares | 139,452,947 | 48,121,899 | 28,718,573 | 25,441,147 | ||||||||||||||||||
Reinvestment of distributions | 2,904,017 | 7,537,145 | 799,747 | 2,501,122 | ||||||||||||||||||
Cost of shares redeemed | (85,861,540 | ) | (78,117,189 | ) | (32,786,987 | ) | (24,346,563 | ) | ||||||||||||||
| Net increase (decrease) in net assets resulting from share transactions | 56,495,424 | (22,458,145 | ) | (3,268,667 | ) | 3,595,706 | ||||||||||||||||
| TOTAL INCREASE (DECREASE) | 36,019,398 | (30,173,781 | ) | (9,142,798 | ) | 251,647 | ||||||||||||||||
| Net assets: | ||||||||||||||||||||||
Beginning of year | 220,246,736 | 250,420,517 | 74,118,647 | 73,867,000 | ||||||||||||||||||
End of year | $ | 256,266,134 | $ | 220,246,736 | $ | 64,975,849 | $ | 74,118,647 | ||||||||||||||
| Undistributed net investment income | $ | 6,620,678 | $ | 2,956,452 | $ | 1,017,102 | $ | 603,994 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS FOCUSED INTERNATIONAL EQUITY FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from investment operations | ||||||||||||||||||||||||||
| Year - Share Class | Net asset value, beginning of year | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions to shareholders from net investment income | Increase from | ||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||
2016 - A | $ | 17.98 | $ | 0.48 | (d) | $ | (1.65 | ) | $ | (1.17 | ) | $ | (0.20 | ) | $ | — | ||||||||||
2016 - C | 16.67 | 0.32 | (d) | (1.53 | ) | (1.21 | ) | (0.09 | ) | — | ||||||||||||||||
2016 - Institutional | 18.34 | 0.47 | (d) | (1.60 | ) | (1.13 | ) | (0.28 | ) | — | ||||||||||||||||
2016 - Service | 18.05 | 0.47 | (d) | (1.67 | ) | (1.20 | ) | (0.06 | ) | — | ||||||||||||||||
2016 - IR | 18.25 | 0.45 | (d) | (1.60 | ) | (1.15 | ) | (0.24 | ) | — | ||||||||||||||||
2016 - R6 (Commenced February 26, 2016) | 15.87 | 0.21 | (d) | 0.85 | 1.06 | — | — | |||||||||||||||||||
2015 - A | 18.49 | 0.21 | (0.16 | ) | 0.05 | (0.56 | ) | — | ||||||||||||||||||
2015 - C | 17.18 | 0.08 | (0.16 | ) | (0.08 | ) | (0.43 | ) | — | |||||||||||||||||
2015 - Institutional | 18.86 | 0.29 | (0.16 | ) | 0.13 | (0.65 | ) | — | ||||||||||||||||||
2015 - Service | 18.57 | 0.14 | (0.11 | ) | 0.03 | (0.55 | ) | — | ||||||||||||||||||
2015 - IR | 18.76 | 0.26 | (0.17 | ) | 0.09 | (0.60 | ) | — | ||||||||||||||||||
2014 - A | 20.00 | 0.55 | (f) | (1.99 | ) | (1.44 | ) | (0.07 | ) | — | ||||||||||||||||
2014 - C | 18.65 | 0.36 | (f) | (1.83 | ) | (1.47 | ) | — | — | |||||||||||||||||
2014 - Institutional | 20.39 | 0.64 | (f) | (2.02 | ) | (1.38 | ) | (0.15 | ) | — | ||||||||||||||||
2014 - Service | 20.08 | 0.52 | (f) | (1.98 | ) | (1.46 | ) | (0.05 | ) | — | ||||||||||||||||
2014 - IR | 20.29 | 0.75 | (f) | (2.14 | ) | (1.39 | ) | (0.14 | ) | — | ||||||||||||||||
2013 - A | 15.58 | 0.15 | 4.71 | 4.86 | (0.44 | ) | — | |||||||||||||||||||
2013 - C | 14.60 | 0.02 | 4.41 | 4.43 | (0.38 | ) | — | |||||||||||||||||||
2013 - Institutional | 15.92 | 0.23 | 4.79 | 5.02 | (0.55 | ) | — | |||||||||||||||||||
2013 - Service | 15.69 | 0.14 | 4.72 | 4.86 | (0.47 | ) | — | |||||||||||||||||||
2013 - IR | 15.87 | 0.16 | 4.82 | 4.98 | (0.56 | ) | — | |||||||||||||||||||
2012 - A | 14.74 | 0.28 | 0.93 | 1.21 | (0.47 | ) | 0.10 | |||||||||||||||||||
2012 - C | 13.82 | 0.16 | 0.87 | 1.03 | (0.35 | ) | 0.10 | |||||||||||||||||||
2012 - Institutional | 15.07 | 0.32 | 0.97 | 1.29 | (0.54 | ) | 0.10 | |||||||||||||||||||
2012 - Service | 14.85 | 0.26 | 0.94 | 1.20 | (0.46 | ) | 0.10 | |||||||||||||||||||
2012 - IR | 15.06 | 0.28 | 0.98 | 1.26 | (0.55 | ) | 0.10 | |||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (d) | Reflects income recognized from corporate actions which amounted to $0.28 per share and 1.63% of average net assets. |
| (e) | Annualized. |
| (f) | Reflects income recognized from a corporate action which amounted to $0.35 per share and 1.76% of average net assets. |
| (g) | Total returns reflect the impact of payments for regulatory settlements entitled to be received during the year and recorded as an increase to capital by the Fund. Excluding such payments, the total return would have been: |
| Class A | Class C | Institutional | Service | Class IR | ||||||||||||||||
For the Fiscal Year Ended October 31, 2012 | 8.66 | % | 7.81 | % | 9.15 | % | 8.57 | % | 8.92 | % | ||||||||||
| 28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FOCUSED INTERNATIONAL EQUITY FUND
| Net asset value, end of year | Total return(b) | Net assets, end of year (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income to average net assets | Portfolio turnover rate(c) | ||||||||||||||||||||||||||||||||||
| $ | 16.61 | (6.54 | )% | $ | 38,152 | 1.30 | % | 1.62 | % | 2.86 | %(d) | 78 | % | |||||||||||||||||||||||||||
| 15.37 | (7.27 | ) | 15,577 | 2.05 | 2.37 | 2.05 | (d) | 78 | ||||||||||||||||||||||||||||||||
| 16.93 | (6.21 | ) | 201,746 | 0.90 | 1.21 | 2.76 | (d) | 78 | ||||||||||||||||||||||||||||||||
| 16.79 | (6.66 | ) | 32 | 1.41 | 1.72 | 2.77 | (d) | 78 | ||||||||||||||||||||||||||||||||
| 16.86 | (6.34 | ) | 749 | 1.05 | 1.36 | 2.62 | (d) | 78 | ||||||||||||||||||||||||||||||||
| 16.93 | 6.68 | 11 | 0.89 | (e) | 1.19 | (e) | 1.83 | (d)(e) | 78 | |||||||||||||||||||||||||||||||
| 17.98 | 0.34 | 48,772 | 1.30 | 1.64 | 1.18 | 105 | ||||||||||||||||||||||||||||||||||
| 16.67 | (0.42 | ) | 18,415 | 2.05 | 2.39 | 0.44 | 105 | |||||||||||||||||||||||||||||||||
| 18.34 | 0.74 | 151,755 | 0.90 | 1.24 | 1.56 | 105 | ||||||||||||||||||||||||||||||||||
| 18.05 | 0.19 | 37 | 1.40 | 1.73 | 0.76 | 105 | ||||||||||||||||||||||||||||||||||
| 18.25 | 0.56 | 1,268 | 1.05 | 1.39 | 1.38 | 105 | ||||||||||||||||||||||||||||||||||
| 18.49 | (7.16 | ) | 58,368 | 1.33 | 1.63 | 2.78 | (f) | 121 | ||||||||||||||||||||||||||||||||
| 17.18 | (7.83 | ) | 18,247 | 2.08 | 2.38 | 1.97 | (f) | 121 | ||||||||||||||||||||||||||||||||
| 18.86 | (6.79 | ) | 170,954 | 0.93 | 1.23 | 3.17 | (f) | 121 | ||||||||||||||||||||||||||||||||
| 18.57 | (7.28 | ) | 332 | 1.43 | 1.73 | 2.62 | (f) | 121 | ||||||||||||||||||||||||||||||||
| 18.76 | (6.90 | ) | 2,253 | 1.07 | 1.38 | 3.73 | (f) | 121 | ||||||||||||||||||||||||||||||||
| 20.00 | 31.94 | 61,224 | 1.46 | 1.69 | 0.89 | 189 | ||||||||||||||||||||||||||||||||||
| 18.65 | 30.97 | 17,910 | 2.20 | 2.44 | 0.15 | 189 | ||||||||||||||||||||||||||||||||||
| 20.39 | 32.50 | 112,707 | 1.06 | 1.29 | 1.29 | 189 | ||||||||||||||||||||||||||||||||||
| 20.08 | 31.86 | 364 | 1.56 | 1.79 | 0.80 | 189 | ||||||||||||||||||||||||||||||||||
| 20.29 | 32.36 | 1,609 | 1.20 | 1.44 | 0.89 | 189 | ||||||||||||||||||||||||||||||||||
| 15.58 | 9.36 | (g) | 52,564 | 1.48 | 1.72 | 1.95 | 144 | |||||||||||||||||||||||||||||||||
| 14.60 | 8.55 | (g) | 14,039 | 2.23 | 2.47 | 1.14 | 144 | |||||||||||||||||||||||||||||||||
| 15.92 | 9.84 | (g) | 61,874 | 1.08 | 1.31 | 2.11 | 144 | |||||||||||||||||||||||||||||||||
| 15.69 | 9.26 | (g) | 299 | 1.58 | 1.82 | 1.77 | 144 | |||||||||||||||||||||||||||||||||
| 15.87 | 9.61 | (g) | 30 | 1.23 | 1.46 | 1.87 | 144 | |||||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS STRATEGIC INTERNATIONAL EQUITY FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from investment operations | ||||||||||||||||||||||
| Year - Share Class | Net asset of year | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions to shareholders from net investment income | |||||||||||||||||
| FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||
2016 - A | $ | 12.95 | $ | 0.18 | $ | (1.04 | ) | $ | (0.86 | ) | $ | (0.10 | ) | |||||||||
2016 - C | 11.62 | 0.08 | (0.94 | ) | (0.86 | ) | (0.01 | ) | ||||||||||||||
2016 - Institutional | 13.56 | 0.23 | (1.08 | ) | (0.85 | ) | (0.15 | ) | ||||||||||||||
2016 - IR | 12.97 | 0.21 | (1.04 | ) | (0.83 | ) | (0.14 | ) | ||||||||||||||
2016 - R | 13.00 | 0.12 | (1.01 | ) | (0.89 | ) | (0.03 | ) | ||||||||||||||
2016 - R6 (Commenced February 26, 2016) | 11.85 | 0.20 | 0.51 | 0.71 | — | |||||||||||||||||
2015 - A | 13.52 | 0.15 | (0.23 | ) | (0.08 | ) | (0.49 | ) | ||||||||||||||
2015 - C | 12.17 | 0.04 | (0.20 | ) | (0.16 | ) | (0.39 | ) | ||||||||||||||
2015 - Institutional | 14.13 | 0.20 | (0.23 | ) | (0.03 | ) | (0.54 | ) | ||||||||||||||
2015 - IR | 13.55 | 0.15 | (0.20 | ) | (0.05 | ) | (0.53 | ) | ||||||||||||||
2015 - R | 13.57 | 0.11 | (0.23 | ) | (0.12 | ) | (0.45 | ) | ||||||||||||||
2014 - A | 13.81 | 0.45 | (e) | (0.63 | ) | (0.18 | ) | (0.11 | ) | |||||||||||||
2014 - C | 12.45 | 0.31 | (e) | (0.57 | ) | (0.26 | ) | (0.02 | ) | |||||||||||||
2014 - Institutional | 14.44 | 0.52 | (e) | (0.67 | ) | (0.15 | ) | (0.16 | ) | |||||||||||||
2014 - IR | 13.84 | 0.40 | (e) | (0.56 | ) | (0.16 | ) | (0.13 | ) | |||||||||||||
2014 - R | 13.88 | 0.41 | (e) | (0.63 | ) | (0.22 | ) | (0.09 | ) | |||||||||||||
2013 - A | 11.06 | 0.14 | 2.80 | 2.94 | (0.19 | ) | ||||||||||||||||
2013 - C | 10.01 | 0.04 | 2.54 | 2.58 | (0.14 | ) | ||||||||||||||||
2013 - Institutional | 11.58 | 0.19 | 2.93 | 3.12 | (0.26 | ) | ||||||||||||||||
2013 - IR | 11.11 | 0.18 | 2.80 | 2.98 | (0.25 | ) | ||||||||||||||||
2013 - R | 11.14 | 0.08 | 2.85 | 2.93 | (0.19 | ) | ||||||||||||||||
2012 - A | 10.62 | 0.20 | 0.61 | 0.81 | (0.37 | ) | ||||||||||||||||
2012 - C | 9.64 | 0.10 | 0.57 | 0.67 | (0.30 | ) | ||||||||||||||||
2012 - Institutional | 11.11 | 0.19 | 0.71 | 0.90 | (0.43 | ) | ||||||||||||||||
2012 - IR | 10.70 | 0.21 | 0.63 | 0.84 | (0.43 | ) | ||||||||||||||||
2012 - R | 10.57 | 0.16 | 0.64 | 0.80 | (0.23 | ) | ||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (d) | Annualized. |
| (e) | Reflects income recognized from a corporate action which amounted to $0.33 per share and 2.32% of average net assets. |
| 30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS STRATEGIC INTERNATIONAL EQUITY FUND
| Net asset value, end of year | Total return(b) | Net assets, end of year (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income to average net assets | Portfolio turnover rate(c) | ||||||||||||||||||||||||||||||||||
| $ | 11.99 | (6.69 | )% | $ | 18,301 | 1.30 | % | 1.76 | % | 1.47 | % | 68 | % | |||||||||||||||||||||||||||
| 10.75 | (7.37 | ) | 3,974 | 2.05 | 2.51 | 0.74 | 68 | |||||||||||||||||||||||||||||||||
| 12.56 | (6.31 | ) | 42,191 | 0.90 | 1.36 | 1.84 | 68 | |||||||||||||||||||||||||||||||||
| 12.00 | (6.43 | ) | 471 | 1.05 | 1.51 | 1.71 | 68 | |||||||||||||||||||||||||||||||||
| 12.08 | (6.87 | ) | 28 | 1.55 | 2.01 | 0.99 | 68 | |||||||||||||||||||||||||||||||||
| 12.56 | 5.99 | 11 | 0.89 | (d) | 1.35 | (d) | 2.33 | (d) | 68 | |||||||||||||||||||||||||||||||
| 12.95 | (0.57 | ) | 23,111 | 1.30 | 1.82 | 1.11 | 83 | |||||||||||||||||||||||||||||||||
| 11.62 | (1.33 | ) | 4,841 | 2.05 | 2.57 | 0.35 | 83 | |||||||||||||||||||||||||||||||||
| 13.56 | (0.15 | ) | 45,795 | 0.90 | 1.42 | 1.47 | 83 | |||||||||||||||||||||||||||||||||
| 12.97 | (0.32 | ) | 355 | 1.05 | 1.56 | 1.17 | 83 | |||||||||||||||||||||||||||||||||
| 13.00 | (0.84 | ) | 17 | 1.55 | 2.07 | 0.86 | 83 | |||||||||||||||||||||||||||||||||
| 13.52 | (1.41 | ) | 22,384 | 1.33 | 1.77 | 3.21 | (e) | 89 | ||||||||||||||||||||||||||||||||
| 12.17 | (2.10 | ) | 4,873 | 2.08 | 2.52 | 2.44 | (e) | 89 | ||||||||||||||||||||||||||||||||
| 14.13 | (1.05 | ) | 45,118 | 0.93 | 1.37 | 3.55 | (e) | 89 | ||||||||||||||||||||||||||||||||
| 13.55 | (1.14 | ) | 128 | 1.07 | 1.52 | 2.86 | (e) | 89 | ||||||||||||||||||||||||||||||||
| 13.57 | (1.58 | ) | 17 | 1.58 | 2.02 | 2.92 | (e) | 89 | ||||||||||||||||||||||||||||||||
| 13.81 | 27.11 | 23,850 | 1.47 | 1.87 | 1.16 | 102 | ||||||||||||||||||||||||||||||||||
| 12.45 | 26.06 | 5,700 | 2.22 | 2.62 | 0.37 | 102 | ||||||||||||||||||||||||||||||||||
| 14.44 | 27.63 | 41,058 | 1.07 | 1.47 | 1.51 | 102 | ||||||||||||||||||||||||||||||||||
| 13.84 | 27.37 | 65 | 1.22 | 1.62 | 1.49 | 102 | ||||||||||||||||||||||||||||||||||
| 13.88 | 26.72 | 17 | 1.72 | 2.11 | 0.61 | 102 | ||||||||||||||||||||||||||||||||||
| 11.06 | 8.17 | 21,854 | 1.45 | 1.95 | 1.91 | 119 | ||||||||||||||||||||||||||||||||||
| 10.01 | 7.35 | 5,147 | 2.20 | 2.70 | 1.01 | 119 | ||||||||||||||||||||||||||||||||||
| 11.58 | 8.58 | 23,684 | 1.05 | 1.51 | 1.68 | 119 | ||||||||||||||||||||||||||||||||||
| 11.11 | 8.42 | 79 | 1.20 | 1.68 | 2.01 | 119 | ||||||||||||||||||||||||||||||||||
| 11.14 | 7.87 | 7 | 1.70 | 2.19 | 1.49 | 119 | ||||||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements
October 30, 2016
| 1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
| Fund | Share Classes Offered | Diversified/ Non-diversified | ||
Focused International Equity | A, C, Institutional, Service, IR and R6+ | Diversified | ||
Strategic International Equity | A, C, Institutional, IR, R and R6+ | Diversified |
| + | Class R6 commenced operations on February 26, 2016. |
Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Service, Class IR, Class R and Class R6 Shares are not subject to a sales charge.
Goldman Sachs Asset Management International (“GSAMI”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to a management agreement (the “Agreement”) with the Trust.
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.
A. Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income, net of any foreign withholding taxes, less any amounts reclaimable, and securities lending income. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees.
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually.
Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
32
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. Foreign Currency Translation — The accounting records and reporting currency of the Funds are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statements of Operations within net change in unrealized gain (loss) on foreign currency translations. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAMI’s assumptions in determining fair value measurement).
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Funds’ policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAMI day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ portfolio investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAMI regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAMI to not represent fair value, equity securities are valued at the last bid price for long positions and at the last ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2.
33
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements (continued)
October 30, 2016
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
Underlying Funds (including Money Market Funds) — Underlying Funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share of the Institutional Share class on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Funds invest in Underlying Funds that fluctuate in value, the Funds’ shares will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAMI believes that such quotations do not accurately reflect fair value, the fair value of the Funds’ investments may be determined under Valuation Procedures approved by the Trustees. GSAMI, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.
C. Fair Value Hierarchy — The following is a summary of the Funds’ investments classified in the fair value hierarchy as of October 31, 2016:
| Focused International Equity | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | — | $ | 66,142,306 | $ | — | ||||||
Australia and Oceania | — | 5,926,177 | — | |||||||||
Europe | — | 167,847,754 | — | |||||||||
North America | — | 6,868,631 | — | |||||||||
Investment Company | 818,819 | — | — | |||||||||
| Total | $ | 818,819 | $ | 246,784,868 | $ | — | ||||||
34
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| STRATEGIC INTERNATIONAL EQUITY | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | — | $ | 14,947,241 | $ | — | ||||||
Australia and Oceania | — | 2,528,994 | — | |||||||||
Europe | — | 43,331,180 | — | |||||||||
North America | — | 1,084,761 | — | |||||||||
Exchange Traded Fund | 1,042,025 | — | — | |||||||||
Investment Company | 1,000,834 | — | — | |||||||||
| Total | $ | 2,042,859 | $ | 61,892,176 | $ | — | ||||||
| (a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile noted in the table. The Funds utilize fair value model prices provided by an independent fair value service for certain international equity securities, resulting in a Level 2 classification. |
For further information regarding security characteristics, see the Schedules of Investments.
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAMI manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAMI is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
For the fiscal year ended October 31, 2016, contractual and effective net management fees with GSAMI were at the following rates:
| Contractual Management Rate | Effective Net Management Rate^ | |||||||||||||||||||||||||||||
| Fund | First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | ||||||||||||||||||||||||
Focused International Equity | 1.00 | % | 0.90 | % | 0.86 | % | 0.84 | % | 0.82 | % | 1.00 | % | 0.85 | %* | ||||||||||||||||
Strategic International Equity | 0.85 | 0.77 | 0.73 | 0.72 | 0.71 | 0.85 | 0.85 | |||||||||||||||||||||||
| ^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. |
| * | GSAMI agreed to waive a portion of its management fee in order to achieve a net management rate, as defined in the Fund’s most recent prospectus. This waiver will be effective through at least February 26, 2017, and prior to such date GSAMI may not terminate the arrangement without the approval of the Trustees. |
The Focused International Equity and Strategic International Equity Funds invest in the Institutional Shares of Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAMI has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to any of the affiliated Underlying Funds in which the Fund invests. For the fiscal year ended October 31, 2016, GSAMI waived $691 and $194 of the Funds’ management fees, respectively.
B. Distribution and Service Plans — The Trust, on behalf of each Fund, has adopted Distribution and Service Plans (the “Plans”). Under the Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and
35
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements (continued)
October 30, 2016
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, at the following annual rates calculated on a Fund’s average daily net assets of each respective share class:
| Distribution and Service Plan Rates | ||||||||||||
| Class A* | Class C | Class R* | ||||||||||
Distribution Plan | 0.25 | % | 0.75 | % | 0.50 | % | ||||||
Service Plan | — | 0.25 | — | |||||||||
| * | With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution Plan to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority. |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares front end sales charge and Class C Shares’ CDSC. During the fiscal year ended October 31, 2016, Goldman Sachs advised that it retained the following amounts:
| Front End Sales Charge | Contingent Deferred Sales Charge | |||||||||
| Fund | Class A | Class C | ||||||||
Focused International Equity | $ | 2,410 | $ | 479 | ||||||
Strategic International Equity | 2,298 | — | ||||||||
D. Service Plan and Shareholder Administration Plan — The Trust, on behalf of each Fund that offers Service Shares, has adopted a Service Plan and a Shareholder Administration Plan. These plans allow for service organizations (including Goldman Sachs) to provide varying levels of personal and account maintenance and shareholder administration services to their customers who are beneficial owners of such shares. The Service Plan and Shareholder Administration Plan each provide for compensation to the service organizations which is accrued daily and paid monthly at an annual rate of 0.25% (0.50% in aggregate) of the average daily net assets of the Service Shares.
E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.19% of the average daily net assets of Class A, Class C, Class IR and Class R Shares; 0.02% of the average daily net assets of Class R6 Shares; and 0.04% of the average daily net assets of Institutional and Service Shares.
F. Other Expense Agreements and Affiliated Transactions — GSAMI has agreed to limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, shareholder meeting, litigation, indemnification and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAMI for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the Funds are 0.014%. These Other Expense limitations will remain in place through at least February 26, 2017, and prior to such date GSAMI may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
36
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended October 31, 2016, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| Fund | Management Fee Waiver | Custody Fee Credits | Other Expense | Total Expense | ||||||||||||||
Focused International Equity | $ | 348,786 | $ | 3,381 | $ | 357,683 | $ | 709,850 | ||||||||||
Strategic International Equity | 194 | 1,071 | 325,771 | 327,036 | ||||||||||||||
G. Line of Credit Facility — As of October 31, 2016, the Funds participated in a $1,100,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAMI or its affiliates (“Other Borrowers”). This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the fiscal year ended October 31, 2016, the Funds did not have any borrowings under the facility.
H. Other Transactions with Affiliates — The following table provides information about the Funds’ investment in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended October 31, 2016.
| Fund | Market Value 10/31/2015 | Purchases at Cost | Proceeds from Sales | Market Value 10/31/2016 | Dividend Income | |||||||||||||||||
Focused International Equity | $ | — | $ | 12,566,876 | $ | (11,748,057 | ) | $ | 818,819 | $ | 1,692 | |||||||||||
Strategic International Equity | — | 3,123,685 | (2,122,851 | ) | 1,000,834 | 516 | ||||||||||||||||
As of October 31, 2016, the following Fund of Fund Portfolios were the beneficial owner of 5% or more of total outstanding shares of the following Fund:
| Fund | Goldman Sachs Equity Growth Strategy Portfolio | Goldman Sachs Growth Strategy Portfolio | Goldman Sachs Growth and Income Strategy Portfolio | |||||||||||
Focused International Equity | 9 | % | 15 | % | 9 | % | ||||||||
As of October 31, 2016, The Goldman Sachs Group, Inc. was the beneficial owner of approximately 100% of the Class R6 Shares of the Focused International Equity Fund and approximately 29% and 100% of the Class R Shares and Class R6 Shares, respectively, of the Strategic International Equity Fund.
| 5. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended October 31, 2016, were as follows:
| Fund | Purchases | Sales and Maturities | ||||||||
Focused International Equity | $ | 231,094,373 | $ | 178,960,751 | ||||||
Strategic International Equity | 48,004,076 | 50,042,213 | ||||||||
37
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements (continued)
October 30, 2016
| 6. TAX INFORMATION |
The tax character of distributions paid during the fiscal year ended October 31, 2016 was as follows:
| Focused International Equity | Strategic International Equity | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 2,958,962 | $ | 826,014 | ||||
The tax character of distributions paid during the fiscal year ended October 31, 2015 was as follows:
| Focused International Equity | Strategic International Equity | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 7,703,429 | $ | 2,536,141 | ||||
As of October 31, 2016, the components of accumulated earnings (losses) on a tax-basis were as follows:
| Focused International Equity | Strategic International Equity | |||||||
Undistributed ordinary income — net | $ | 6,972,757 | $ | 1,078,541 | ||||
Capital loss carryforwards: | ||||||||
Expiring 2017(1) | $ | (106,107,378 | ) | $ | (28,233,535 | ) | ||
Expiring 2019(1) | (9,250,431 | ) | — | |||||
Perpetual long-term | (17,928,106 | ) | (508,547 | ) | ||||
Total capital loss carryforwards | $ | (133,285,915 | ) | $ | (28,742,082 | ) | ||
Unrealized losses — net | (33,830,349 | ) | (7,465,874 | ) | ||||
Total accumulated losses — net | $ | (160,143,507 | ) | $ | (35,129,415 | ) | ||
| (1) | Expiration occurs on October 31 of the year indicated. The Focused International Equity and Strategic International Equity Funds had capital loss carryforwards of $89,358,426 and $14,821,928, respectively, which expired in the current fiscal year. |
As of October 31, 2016, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| Focused International Equity | Strategic International Equity | |||||||
Tax cost | $ | 281,390,536 | $ | 71,386,312 | ||||
Gross unrealized gain | 6,496,647 | 2,501,873 | ||||||
Gross unrealized loss | (40,283,496 | ) | (9,953,150 | ) | ||||
Net unrealized security loss | $ | (33,786,849 | ) | $ | (7,451,277 | ) | ||
Net unrealized loss on other investments | (43,500 | ) | (14,597 | ) | ||||
Net unrealized loss | $ | (33,830,349 | ) | $ | (7,465,874 | ) | ||
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales and differences related to the tax treatment of passive foreign investment company investments.
In order to present certain components of the Funds’ capital accounts on a tax-basis, certain reclassifications have been recorded to the Funds’ accounts. These reclassifications have no impact on the NAV of the Funds and result primarily from
38
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
| 6. TAX INFORMATION (continued) |
differences in the tax treatment of foreign currency transactions, passive foreign investment company investments and expired capital loss carryforwards.
| Fund | Paid-in Capital | Accumulated Net Realized Gain (Loss) | Undistributed Net Investment Income (Loss) | |||||||||||
Focused International Equity | $ | (89,358,426 | ) | $ | 89,061,408 | $ | 297,018 | |||||||
Strategic International Equity | (14,821,928 | ) | 14,776,041 | 45,887 | ||||||||||
GSAMI has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
| 7. OTHER RISKS |
The Funds’ risks include, but are not limited to, the following:
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which a Fund invests. Loss may also result from the imposition of exchange controls, confiscations and other government restrictions by the U.S. or other governments, or from problems in registration, settlement or custody. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which a Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that a Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
Foreign Custody Risk — A Fund that invests in foreign securities may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy. Investments in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in emerging market countries are very often undeveloped and may be considerably less well regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.
Geographic and Sector Risk — As a result of the Funds’ ability to invest a large percentage of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business, political, environmental or other development may affect the value of the Funds’ investments more than if their investments were not so focused.
Investments in Other Investment Companies — As a shareholder of another investment company, including an ETF, a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Issuer Concentration Risk — The Focused International Equity Fund intends to invest in a relatively small number of issuers. As a result, it may be subject to greater risks than a fund that invests in a greater number of issuers. A change in the value of any
39
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements (continued)
October 30, 2016
| 7. OTHER RISKS (continued) |
single investment held by the Fund may affect the overall value of the Fund more than it would affect a mutual fund that holds more investments. In particular, the Fund may be more susceptible to adverse developments affecting any single issuer in the Fund and may be susceptible to greater losses because of these developments.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include the Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions may cause a Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.
Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions.
Market and Credit Risks — In the normal course of business, a Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
40
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
| 8. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAMI believes the risk of loss under these arrangements to be remote.
| 9. SUBSEQUENT EVENTS |
Subsequent events after the Statements of Assets and Liabilities date have been evaluated and GSAMI has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
41
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements (continued)
October 30, 2016
| 10. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| Focused International Equity Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 182,370 | $ | 3,077,795 | 293,167 | $ | 5,383,781 | ||||||||||
Shares converted from Class B(a) | — | — | 4,363 | 79,894 | ||||||||||||
Reinvestment of distributions | 29,815 | 520,578 | 94,946 | 1,684,348 | ||||||||||||
Shares redeemed | (627,334 | ) | (10,522,422 | ) | (835,896 | ) | (15,008,792 | ) | ||||||||
| (415,149 | ) | (6,924,049 | ) | (443,420 | ) | (7,860,769 | ) | |||||||||
| Class B Shares(a) | ||||||||||||||||
Shares converted to Class A | — | — | (4,448 | ) | (79,894 | ) | ||||||||||
Shares redeemed | — | — | (10,228 | ) | (183,739 | ) | ||||||||||
| — | — | (14,676 | ) | (263,633 | ) | |||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 210,136 | 3,292,226 | 234,732 | 3,933,741 | ||||||||||||
Reinvestment of distributions | 5,841 | 94,977 | 26,339 | 435,904 | ||||||||||||
Shares redeemed | (307,365 | ) | (4,790,267 | ) | (218,263 | ) | (3,686,491 | ) | ||||||||
| (91,388 | ) | (1,403,064 | ) | 42,808 | 683,154 | |||||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 7,607,561 | 132,493,450 | 2,042,402 | 38,294,257 | ||||||||||||
Reinvestment of distributions | 128,053 | 2,271,654 | 296,453 | 5,345,040 | ||||||||||||
Shares redeemed | (4,096,369 | ) | (69,541,789 | ) | (3,126,278 | ) | (57,420,654 | ) | ||||||||
| 3,639,245 | 65,223,315 | (787,423 | ) | (13,781,357 | ) | |||||||||||
| Service Shares | ||||||||||||||||
Shares sold | — | — | 516 | 9,235 | ||||||||||||
Reinvestment of distributions | 7 | 118 | 63 | 1,120 | ||||||||||||
Shares redeemed | (157 | ) | (2,525 | ) | (16,435 | ) | (284,841 | ) | ||||||||
| (150 | ) | (2,407 | ) | (15,856 | ) | (274,486 | ) | |||||||||
| Class IR Shares | ||||||||||||||||
Shares sold | 34,653 | 579,476 | 26,620 | 500,885 | ||||||||||||
Reinvestment of distributions | 943 | 16,690 | 3,938 | 70,733 | ||||||||||||
Shares redeemed | (60,670 | ) | (1,004,537 | ) | (81,206 | ) | (1,532,672 | ) | ||||||||
| (25,074 | ) | (408,371 | ) | (50,648 | ) | (961,054 | ) | |||||||||
| Class R6 Shares(b) | ||||||||||||||||
Shares sold | 630 | 10,000 | — | — | ||||||||||||
| 630 | 10,000 | — | — | |||||||||||||
NET INCREASE (DECREASE) | 3,108,114 | $ | 56,495,424 | (1,269,215 | ) | $ | (22,458,145 | ) | ||||||||
| (a) | Class B Shares converted into Class A Shares at the close of business on November 14, 2014. |
| (b) | Class R6 Shares commenced operations on February 26, 2016 . |
42
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
| 10. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| Strategic International Equity Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 228,778 | $ | 2,835,075 | 287,002 | $ | 3,820,054 | ||||||||||
Shares converted from Class B(a) | — | — | 82,120 | 1,098,759 | ||||||||||||
Reinvestment of distributions | 12,966 | 163,244 | 64,638 | 831,893 | ||||||||||||
Shares redeemed | (500,413 | ) | (6,019,661 | ) | (304,568 | ) | (3,998,001 | ) | ||||||||
| (258,669 | ) | (3,021,342 | ) | 129,192 | 1,752,705 | |||||||||||
| Class B Shares(a) | ||||||||||||||||
Shares converted to Class A | — | — | (92,333 | ) | (1,098,759 | ) | ||||||||||
Shares redeemed | — | — | (19,706 | ) | (234,677 | ) | ||||||||||
| — | — | (112,039 | ) | (1,333,436 | ) | |||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 40,171 | 441,191 | 78,335 | 951,232 | ||||||||||||
Reinvestment of distributions | 428 | 4,859 | 11,937 | 138,834 | ||||||||||||
Shares redeemed | (87,502 | ) | (955,830 | ) | (74,129 | ) | (882,624 | ) | ||||||||
| (46,903 | ) | (509,780 | ) | 16,143 | 207,442 | |||||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 1,965,192 | 25,039,463 | 1,464,658 | 20,425,892 | ||||||||||||
Reinvestment of distributions | 47,740 | 627,309 | 113,557 | 1,525,075 | ||||||||||||
Shares redeemed | (2,031,085 | ) | (25,562,659 | ) | (1,393,101 | ) | (19,206,286 | ) | ||||||||
| (18,153 | ) | 104,113 | 185,114 | 2,744,681 | ||||||||||||
| Class IR Shares | ||||||||||||||||
Shares sold | 31,196 | 370,236 | 19,455 | 243,705 | ||||||||||||
Reinvestment of distributions | 343 | 4,313 | 391 | 5,027 | ||||||||||||
Shares redeemed | (19,674 | ) | (238,876 | ) | (1,894 | ) | (24,975 | ) | ||||||||
| 11,865 | 135,673 | 17,952 | 223,757 | |||||||||||||
| Class R Shares | ||||||||||||||||
Shares sold | 1,857 | 22,608 | 20 | 264 | ||||||||||||
Reinvestment of distributions | 2 | 22 | 23 | 293 | ||||||||||||
Shares redeemed | (790 | ) | (9,961 | ) | — | — | ||||||||||
| 1,069 | 12,669 | 43 | 557 | |||||||||||||
| Class R6 Shares(b) | ||||||||||||||||
Shares sold | 844 | 10,000 | — | — | ||||||||||||
| 844 | 10,000 | — | — | |||||||||||||
NET INCREASE (DECREASE) | (309,947 | ) | $ | (3,268,667 | ) | 236,405 | $ | 3,595,706 | ||||||||
| (a) | Class B Shares converted into Class A Shares at the close of business on November 14, 2014. |
| (b) | Class R6 Shares commenced operations on February 26, 2016 . |
43
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Goldman Sachs Trust and Shareholders of the Goldman Sachs Fundamental International Equity Funds:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Goldman Sachs Focused International Equity Fund and Goldman Sachs Strategic International Equity Fund (collectively the “Funds”), funds of the Goldman Sachs Trust, at October 31, 2016, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2016 by correspondence with the custodian, brokers, transfer agent of the underlying funds and the application of alternative auditing procedures where securities purchased confirmations had not been received, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
December 23, 2016
44
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Fund Expenses — Six Month Period Ended October 31, 2016 (Unaudited) |
As a shareholder of Class A, Class C, Institutional, Service, Class IR, Class R or Class R6 Shares of a Fund you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares) and contingent deferred sales charges on redemptions (with respect to and Class C Shares); and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees (with respect to Class A, Class C, Service and Class R Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class C, Institutional, Service, Class IR, Class R and Class R6 Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from May 1, 2016 through October 31, 2016, which represents a period of 184 days of a 366 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fee or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Focused International Equity Fund | Strategic International Equity Fund | |||||||||||||||||||||||
| Share Class | Beginning Account Value 5/01/16 | Ending Account Value 10/31/16 | Expenses Paid for the 6 Months Ended 10/31/16* | Beginning Account Value 5/01/16 | Ending Account Value 10/31/16 | Expenses Paid for the 6 Months Ended 10/31/16* | ||||||||||||||||||
| Class A | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 961.80 | $ | 6.41 | $ | 1,000 | $ | 965.40 | $ | 6.42 | ||||||||||||
Hypothetical 5% return | 1,000 | 1,018.60 | + | 6.60 | 1,000 | 1,018.60 | + | 6.60 | ||||||||||||||||
| Class C | ||||||||||||||||||||||||
Actual | 1,000 | 957.60 | 10.09 | 1,000 | 961.50 | 10.11 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,014.83 | + | 10.38 | 1,000 | 1,014.83 | + | 10.38 | ||||||||||||||||
| Institutional | ||||||||||||||||||||||||
Actual | 1,000 | 963.00 | 4.44 | 1,000 | 966.90 | 4.45 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,020.61 | + | 4.57 | 1,000 | 1,020.61 | + | 4.57 | ||||||||||||||||
| Service | ||||||||||||||||||||||||
Actual | 1,000 | 961.10 | 6.90 | N/A | N/A | N/A | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,018.10 | + | 7.10 | N/A | N/A | N/A | |||||||||||||||||
| Class IR | ||||||||||||||||||||||||
Actual | 1,000 | 962.30 | 5.18 | 1,000 | 966.20 | 5.19 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,019.86 | + | 5.33 | 1,000 | 1,019.86 | + | 5.33 | ||||||||||||||||
| Class R | ||||||||||||||||||||||||
Actual | N/A | N/A | N/A | 1,000 | 964.10 | 7.65 | ||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | 1,000 | 1,017.34 | 7.86 | ||||||||||||||||||
| Class R6 | ||||||||||||||||||||||||
Actual | 1,000 | 963.60 | 4.05 | 1,000 | 967.60 | 3.71 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.01 | 4.17 | 1,000 | 1,021.37 | 3.81 | ||||||||||||||||||
| * | Expenses are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended October 31, 2016. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
| Fund | Class A | Class C | Institutional | Service | Class IR | Class R | Class R6 | |||||||||||||||||||||
Focused International Equity | 1.30 | % | 2.05 | % | 0.90 | % | 1.40 | % | 1.05 | % | N/A | 0.82 | % | |||||||||||||||
Strategic International Equity | 1.30 | 2.05 | 0.90 | N/A | 1.05 | 1.55 | % | 0.75 | ||||||||||||||||||||
| + | Hypothetical expenses are based on each Fund's actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
45
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Focused International Equity Fund and the Goldman Sachs Strategic International Equity Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management International (the “Investment Adviser”) on behalf of the Funds.
The Management Agreement was most recently approved for continuation until June 30, 2017 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 15-16, 2016 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to each Fund, such matters included:
| (a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
| (i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
| (ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
| (iii) | trends in employee headcount; |
| (iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
| (v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
| (b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), a benchmark performance index, and a composite of accounts with comparable investment strategies managed by the Investment Adviser (in the case of the Focused International Equity Fund); and general investment outlooks in the markets in which the Fund invests; |
| (c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
| (d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
46
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
| (e) | fee and expense information for the Fund, including: |
| (i) | the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
| (ii) | the Fund’s expense trends over time; and |
| (iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
| (f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
| (g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
| (h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates; |
| (i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
| (j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, portfolio trading, distribution and other services; |
| (k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
| (l) | information regarding commissions paid by the Fund and broker oversight, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
| (m) | portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
| (n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
| (o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity, and payment of distribution, service, and shareholder administration fees, as applicable. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
47
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the regulatory and control environment in which the Funds and their service providers operate, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Funds. In this regard, they compared the investment performance of each Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2015, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2016. The information on each Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates, to the extent that each Fund had been in existence for those periods. The Trustees also reviewed each Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies and market conditions. The Trustees also received information comparing the Focused International Equity Fund’s performance to that of a composite of accounts with comparable investment strategies managed by the Investment Adviser.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.
48
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
The Trustees observed that the Focused International Equity Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one- and five-year periods, in the third quartile for the three-year period, and in the fourth quartile for the ten-year period, and had outperformed the Fund’s benchmark index for the one-year period and underperformed for the three-, five-, and ten-year periods ended March 31, 2016. They noted that the Strategic International Equity Fund’s Institutional Shares had placed in the second quartile of the Fund’s peer group and had outperformed the Fund’s benchmark index for the one-, three-, and five-year periods ended March 31, 2016.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by each Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of each Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s transfer agency, custody, and distribution fees, other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive. In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed the Investment Adviser’s revenues and pre-tax profit margins with respect to the Trust and each of the Funds. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization had audited the expense allocation methodology and was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology and profitability analysis calculations. Profitability data for the Trust and each Fund were provided for 2015 and 2014, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.
49
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Economies of Scale
The Trustees considered the information that had been provided regarding the Investment Adviser’s profitability. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:
| Average Daily Net Assets | Focused International Equity Fund | Strategic International Equity Fund | ||||||
| First $1 billion | 1.00 | % | 0.85 | % | ||||
| Next $1 billion | 0.90 | 0.77 | ||||||
| Next $3 billion | 0.86 | 0.73 | ||||||
| Next $3 billion | 0.84 | 0.72 | ||||||
| Over $8 billion | 0.82 | 0.71 | ||||||
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertakings to waive a portion of its management fee (with respect to the Focused International Equity Fund) and to limit certain expenses of the Funds that exceed specified levels. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds as stated above, including: (a) transfer agency fees received by Goldman, Sachs & Co. (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Funds; (c) research received by the Investment Adviser from broker-dealers in exchange for executing certain transactions on behalf of the Funds; (d) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (e) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (f) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (g) Goldman Sachs’ retention of certain fees as Fund Distributor; (h) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; and (i) the possibility that the working relationship between the Investment Adviser and the Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
50
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Other Benefits to the Funds and Their Shareholders
The Trustees also noted that the Funds receive certain potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors because of the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers because of the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Funds as a result of the size and reputation of the Goldman Sachs organization; (e) the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization; (g) the Funds’ access, through the Investment Adviser, to certain firmwide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (h) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Management Agreement should be approved and continued with respect to each Fund until June 30, 2017.
51
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Trustees and Officers (Unaudited)
Independent Trustees
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Ashok N. Bakhru Age: 74 | Chairman of the Board of Trustees | Since 1996 (Trustee since 1991) | Mr. Bakhru is retired. He was formerly Director, Apollo Investment Corporation (a business development company) (2008-2013); President, ABN Associates (a management and financial consulting firm) (1994-1996 and 1998-2012); Trustee, Scholarship America (1998-2005); Trustee, Institute for Higher Education Policy (2003-2008); Director, Private Equity Investors — III and IV (1998-2007), and Equity-Linked Investors II (April 2002-2007).
Chairman of the Board of Trustees — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | 142 | None | |||||
Kathryn A. Cassidy Age: 62 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Diana M. Daniels Age: 67 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Herbert J. Markley Age: 66 | Trustee | Since 2013 | Mr. Markley is retired. Formerly, he was Executive Vice President, Deere & Company (an agricultural and construction equipment manufacturer) (2007-2009); and President, Agricultural Division, Deere & Company (2001-2007). Previously, Mr. Markley served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Jessica Palmer Age: 67 | Trustee | Since 2007 | Ms. Palmer is retired. She is Director, Emerson Center for the Arts and Culture (2011-Present); and was formerly a Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
52
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Trustees and Officers (Unaudited) (continued)
Independent Trustees
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Roy W. Templin Age: 56 | Trustee | Since 2013 | Mr. Templin is retired. He recently served as Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); and was formerly Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Gregory G. Weaver Age: 65 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | Verizon Communications Inc. | |||||
53
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Trustees and Officers (Unaudited) (continued)
Interested Trustees*
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
James A. McNamara Age: 54 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993- April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | 140 | None | |||||
Alan A. Shuch Age: 66 | Trustee | Since 1990 | Advisory Director — GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994-May 1999).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
| * | These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
| 1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of October 31, 2016. |
| 2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirement shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. One Trustee has been granted a waiver from the foregoing policies which permits him to serve until December 31, 2017. |
| 3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of October 31, 2016, Goldman Sachs Trust consisted of 92 portfolios (91 of which offered shares to the public); Goldman Sachs Variable Insurance Trust consisted of 14 portfolios; Goldman Sachs Trust II consisted of 17 portfolios (15 of which offered shares to the public); Goldman Sachs BDC, Inc., Goldman Sachs Private Middle Market Credit LLC, Goldman Sachs MLP Income Opportunities Fund, and Goldman Sachs MLP and Energy Renaissance Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 15 portfolios (eight of which offered shares to the public). Goldman Sachs Private Middle Market Credit LLC does not offer shares to the public. |
| 4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
54
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 54 | Trustee and President | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 39 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Middle Market Lending LLC; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
Scott M. McHugh 200 West Street New York, NY 10282 Age: 45 | Treasurer, Senior Vice President and Principal Financial Officer | Since 2009 (Principal Financial Officer since 2013) | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (February 2007-December 2015); Assistant Treasurer of certain mutual funds administered by DWS Scudder (2005-2007); and Director (2005-2007), Vice President (2000-2005), and Assistant Vice President (1998-2000), Deutsche Asset Management or its predecessor (1998-2007).
Treasurer, Senior Vice President and Principal Financial Officer — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
| 1 | Information is provided as of October 31, 2016. |
| 2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
55
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Goldman Sachs Trust — Fundamental International Equity Funds — Tax Information (Unaudited)
From distributions paid during the year ended October 31, 2016, the total amount of income received by the Focused International Equity and Strategic International Equity Funds from sources within foreign countries and possessions of the United States was $0.3029 and $0.1527 per share, respectively, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid from foreign sources by the Focused International Equity and Strategic International Equity Funds were 98.47% and 96.04%, respectively. The total amount of taxes paid by the Focused International Equity and Strategic International Equity Funds was $0.0504 and $0.0249 per share, respectively.
For the year ended October 31, 2016, 100% of the dividends paid from net investment company taxable income by the Focused International Equity and Strategic International Equity Funds qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
56
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.15 trillion in assets under supervision as of September 30, 2016, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman, Sachs & Co. subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| n | Financial Square Treasury Solutions Fund1 |
| n | Financial Square Government Fund1 |
| n | Financial Square Money Market Fund2 |
| n | Financial Square Prime Obligations Fund2 |
| n | Financial Square Treasury Instruments Fund1 |
| n | Financial Square Treasury Obligations Fund1 |
| n | Financial Square Federal Instruments Fund1 |
| n | Financial Square Tax-Exempt Money Market Fund2 |
Investor FundsSM
| n | Investor Money Market Fund3 |
| n | Investor Tax-Exempt Money Market Fund3,4 |
Fixed Income
Short Duration and Government
| n | Enhanced Income Fund |
| n | High Quality Floating Rate Fund |
| n | Short-Term Conservative Income Fund5 |
| n | Short Duration Government Fund |
| n | Short Duration Income Fund |
| n | Government Income Fund |
| n | Inflation Protected Securities Fund |
Multi-Sector
| n | Bond Fund |
| n | Core Fixed Income Fund |
| n | Global Income Fund |
| n | Strategic Income Fund |
Municipal and Tax-Free
| n | High Yield Municipal Fund |
| n | Dynamic Municipal Income Fund |
| n | Short Duration Tax-Free Fund |
Single Sector
| n | Investment Grade Credit Fund |
| n | U.S. Mortgages Fund |
| n | High Yield Fund |
| n | High Yield Floating Rate Fund |
| n | Emerging Markets Debt Fund |
| n | Local Emerging Markets Debt Fund |
| n | Dynamic Emerging Markets Debt Fund |
Fixed Income Alternatives
| n | Long Short Credit Strategies Fund |
| n | Fixed Income Macro Strategies Fund |
Fundamental Equity
| n | Growth and Income Fund |
| n | Small Cap Value Fund |
| n | Small/Mid Cap Value Fund |
| n | Mid Cap Value Fund |
| n | Large Cap Value Fund |
| n | Focused Value Fund |
| n | Capital Growth Fund |
| n | Strategic Growth Fund |
| n | Focused Growth Fund |
| n | Small/Mid Cap Growth Fund |
| n | Flexible Cap Growth Fund |
| n | Concentrated Growth Fund |
| n | Technology Opportunities Fund |
| n | Growth Opportunities Fund |
| n | Rising Dividend Growth Fund |
| n | Dynamic U.S. Equity Fund |
| n | Income Builder Fund |
Tax-Advantaged Equity
| n | U.S. Tax-Managed Equity Fund |
| n | International Tax-Managed Equity Fund |
| n | U.S. Equity Dividend and Premium Fund |
| n | International Equity Dividend and Premium Fund |
Equity Insights
| n | Small Cap Equity Insights Fund |
| n | U.S. Equity Insights Fund |
| n | Small Cap Growth Insights Fund |
| n | Large Cap Growth Insights Fund |
| n | Large Cap Value Insights Fund |
| n | Small Cap Value Insights Fund |
| n | International Small Cap Insights Fund6 |
| n | International Equity Insights Fund |
| n | Emerging Markets Equity Insights Fund |
Fundamental Equity International
| n | Strategic International Equity Fund |
| n | Focused International Equity Fund |
| n | Asia Equity Fund |
| n | Emerging Markets Equity Fund |
| n | N-11 Equity Fund |
Select Satellite
| n | Real Estate Securities Fund |
| n | International Real Estate Securities Fund |
| n | Commodity Strategy Fund |
| n | Global Real Estate Securities Fund |
| n | Dynamic Commodity Strategy Fund |
| n | Dynamic Allocation Fund |
| n | Absolute Return Tracker Fund |
| n | Long Short Fund |
| n | Managed Futures Strategy Fund |
| n | MLP Energy Infrastructure Fund |
| n | Multi-Manager Alternatives Fund |
| n | Multi-Asset Real Return Fund |
| n | Absolute Return Multi-Asset Fund |
| n | Global Infrastructure Fund |
Total Portfolio Solutions
| n | Global Managed Beta Fund |
| n | Multi-Manager Non-Core Fixed Income Fund |
| n | Multi-Manager U.S. Dynamic Equity Fund |
| n | Multi-Manager Global Equity Fund |
| n | Multi-Manager International Equity Fund |
| n | Tactical Tilt Overlay Fund7 |
| n | Balanced Strategy Portfolio |
| n | Multi-Manager U.S. Small Cap Equity Fund |
| n | Multi-Manager Real Assets Strategy Fund |
| n | Growth and Income Strategy Portfolio |
| n | Growth Strategy Portfolio |
| n | Equity Growth Strategy Portfolio |
| n | Satellite Strategies Portfolio |
| n | Enhanced Dividend Global Equity Portfolio |
| n | Tax-Advantaged Global Equity Portfolio |
| n | Strategic Factor Allocation Fund |
| n | Target Date 2020 Portfolio |
| n | Target Date 2025 Portfolio |
| n | Target Date 2030 Portfolio |
| n | Target Date 2035 Portfolio |
| n | Target Date 2040 Portfolio |
| n | Target Date 2045 Portfolio |
| n | Target Date 2050 Portfolio |
| n | Target Date 2055 Portfolio |
| n | GQG Partners International Opportunities Fund |
| 1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | Effective on March 31, 2016, the Goldman Sachs Financial Square Tax-Free Money Market Fund was renamed the Goldman Sachs Investor Tax-Exempt Money Market Fund. |
| 5 | Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund. |
| 6 | Effective at the close of business on February 5, 2016, the Goldman Sachs International Small Cap Fund was reorganized with and into the Goldman Sachs International Small Cap Insights Fund. |
| 7 | Effective on June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman, Sachs & Co.
| * | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
TRUSTEES Ashok N. Bakhru, Chairman Kathryn A. Cassidy Diana M. Daniels Herbert J. Markley James A. McNamara Jessica Palmer Alan A. Shuch Roy W. Templin Gregory G. Weaver | OFFICERS James A. McNamara, President Scott M. McHugh, Principal Financial Officer, Senior Vice President and Treasurer Caroline L. Kraus, Secretary | |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | GOLDMAN SACHS ASSET MANAGEMENT INTERNATIONAL Investment Adviser | |
Visit our website at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s web site at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Fund holdings and allocations shown are as of October 31, 2016 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2016 Goldman Sachs. All rights reserved. 75005-TMPL-12/2016 EQINTAR-16/7.5k
Goldman Sachs Funds
| Annual Report | October 31, 2016 | |||
Global Managed Beta Fund | ||||
Goldman Sachs Global Managed Beta Fund
TABLE OF CONTENTS | ||||
Portfolio Management Discussion and Performance Summary | 1 | |||
Schedule of Investments | 6 | |||
Financial Statements | 9 | |||
Financial Highlights | 12 | |||
Notes to Financial Statements | 14 | |||
Report of Independent Registered Public Accounting Firm | 24 | |||
Other Information | 25 | |||
| NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
PORTFOLIO RESULTS
Goldman Sachs Global Managed Beta Fund
Investment Objective
The Fund seeks to provide long-term capital growth.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Global Portfolio Solutions Team discusses the Goldman Sachs Global Managed Beta Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2016 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Institutional Shares generated an average annual total return, without sales charges, of 3.08%. This return compares to the 2.72% average annual total return of the Fund’s benchmark, Morgan Stanley Capital International (MSCI) All Country World Index Investable Market Index (Net, USD, 50% Non-US Developed Hedged to USD) (the “Index”), during the same time period. |
| Q | What economic and market factors most influenced the Fund during the Reporting Period? |
| A | Global equities advanced during the Reporting Period despite increased volatility, spurred mostly by renewed concerns in January 2016 about China’s economic weakness and geopolitical risks related to the June 2016 U.K. referendum about membership in the European Union. Volatility spiked at the start of 2016 and again in June, with global equities (as represented by the Index) falling 12% from January through mid-February and falling 6% immediately after the U.K.’s surprise “leave” result, popularly known as Brexit. Global equity markets displayed resiliency after both declines, recovering their losses within one to two months. In addition, during the Reporting Period, large swings in energy prices added extra uncertainty about global economic growth prospects, significantly affecting the stocks of energy-sensitive economies, such as those of Canada and emerging market countries. |
| Beyond the global equity markets, the price of Eurodollar futures, which moves in response to the interest rate offered on U.S. dollar-denominated deposits held in European banks, declined as the Federal Reserve (“Fed”) raised interest rates for the first time in nearly a decade in December 2015. Eurodollar futures prices then rebounded at the start of 2016 as investors sought assets perceived as safe havens amid heightened volatility. However, in the latter half of the Reporting Period, Eurodollar futures prices generally fell as the markets began pricing in future Fed interest rate hikes on the back of positive U.S. economic data. |
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | The Fund primarily seeks to achieve its investment objective by investing in a diversified portfolio of global equity asset classes that provide broad beta exposure to the global equity markets. (Beta refers to the component of returns that is attributable to market risk exposure, rather than manager skill.) During the Reporting Period, the Fund outperformed the Index, largely because of its strategic overweight relative to the Index in emerging market equities. Additionally, during the first half of the Reporting Period, the Fund benefited from its lower sensitivity than the Index to energy prices, which was the result of its structural underweight in Canadian equities. |
| Q | How was the Fund positioned at the beginning of the Reporting Period? |
| A | In terms of its strategic allocation at the beginning of the Reporting Period, the Fund had 97.84% of its total net assets invested in equity-related investments, 1.32% in the macro hedging strategy (through which we seek to diversify the Fund’s overall exposure to global equity asset classes) and 0.84% in cash and cash equivalents. The Fund also maintained a position in cash and cash equivalents to cover the exposure of various derivatives positions. This above sector breakout is inclusive of derivative exposure across all asset classes. |
1
PORTFOLIO RESULTS
| Q | How did you tactically manage the Fund’s allocations during the Reporting Period? |
| A | We carefully rebalanced the Fund during the market pullback at the beginning of 2016, subsequently re-adjusting its equity exposures relative to our long-term targets. During April 2016, we reduced the size of the Fund’s structural underweight to Canadian equities relative to the Index. Also, given that we believed the Fed would keep interest rates “lower for longer,” we dynamically managed the Fund’s risk exposures via the macro hedging strategy throughout the Reporting Period. |
| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | During the Reporting Period, the Fund used equity futures to express passive investment views with greater versatility across the Canadian equity market and the U.S. small-cap equity market. These instruments generated similar returns as their respective equity benchmark indices, adding to the Fund’s performance during the Reporting Period. In addition, the Fund employed interest rate options and currency forwards to afford greater risk management of macroeconomic and foreign exchange risks in the portfolio. The use of currency forwards had a positive impact on Fund results. The Fund’s interest rate options detracted from performance during the Reporting Period. |
| Q | How was the Fund positioned at the end of the Reporting Period? |
| A | In terms of its strategic allocation at the end of the Reporting Period, the Fund had 98.00% of its total net assets invested in equity-related investments, 1.44% in the macro hedging strategy and 0.56% in cash and cash equivalents. The Fund also maintained a position in cash and cash equivalents to cover the exposure of various derivatives positions. This above sector breakout is inclusive of derivative exposure across all asset classes. |
| Q | What is the Fund’s tactical asset allocation view and strategy for the months ahead? |
| A | At the end of the Reporting Period, we thought the global economy was in the late stages of recovery, but we believed that, absent external shocks, it still had room to grow. Accordingly, we remained cautiously positive on the outlook for riskier asset classes. |
| Broadly speaking, at the end of the Reporting Period, we remained more positive on equities than on corporate credit and on corporate credit relative to interest rates and increasingly on emerging markets over developed markets. |
| With respect to equities, we believed a continued U.S. economic expansion would be supportive for the asset class, and we therefore maintained the Fund’s strategic allocation to equities. That said, bond prices were higher overall than equity prices at the end of the Reporting Period. We considered this a “mis-valuation” likely to be resolved, not through an equity market rally but through an increase in bond yields. In our view, equity returns are likely to be muted, but positive, in the near term. However, if bond yields stay near levels seen at the end of the Reporting Period, we believe a substantial equity rally will likely be necessary to bring equity prices into line with bond prices. |
| Looking ahead, we have a positive outlook on emerging market equities versus developed market equities, which is reflected in the Fund’s strategic allocations. We believe sufficient progress has been made in recent years on various fronts, including valuations, macro imbalances, the dissipation of growth challenges and the perception by investors of improvements in the emerging markets. Regarding the developed markets, we anticipate growing uncertainty as the U.K. prepares for Brexit and as the U.S. government transitions to a new administration. Because of these factors, we believe the stage has been set in the medium term for the strong performance of emerging market equities. We plan to look for opportunities to increase the Fund’s exposure to the emerging market equities, as we believe the near-term risk/reward appears more balanced, given the potential, in our view, for temporary headwinds due to rising bond yields in the developed markets. We remain concerned about possible downside risks from China but believe renewed policy support from its government has made those risks smaller in the near term. |
| As for the Fund’s macro hedging strategy, we view it as a long-term structural allocation and a capital-efficient means of diversifying the Fund’s exposure to global equities. However, at the end of the Reporting Period, we believed the market was underestimating the pace of Fed monetary action, generally assigning a low chance of more than two interest rate hikes by the end of 2017. Accordingly, we planned to maintain a modestly reduced allocation to the macro hedging strategy as we position the Fund in anticipation of potential Fed interest rate increases and as we closely monitor the potential impact of events related to key political and monetary policy decisions in the near term. |
2
FUND BASICS
Global Managed Beta Fund
as of October 31, 2016
| PERFORMANCE REVIEW | ||||||||||
| November 1, 2015–October 31, 2016 | Fund Total Return (based on NAV)1 | MSCI All Country World Index Investable Market Index2 | ||||||||
| Institutional Shares | 3.08 | % | 2.72 | % | ||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Fund’s benchmark index is the MSCI All Country World Index Investable Market Index (Net, USD, 50% Non-US Developed Hedged to USD) (the “Index”). The Index captures large, mid and small cap representation across 23 developed markets and 23 emerging markets countries. |
| STANDARDIZED TOTAL RETURNS3 | ||||||||||||
| For the period ended 9/30/16 | One Year | Since Inception | Inception Date | |||||||||
| Institutional Shares | 11.89 | % | 1.06 | % | 4/30/2015 | |||||||
| 3 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. Because Institutional Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
| EXPENSE RATIOS4 | ||||||||||
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Institutional Shares | 0.44 | % | 0.93 | % | ||||||
| 4 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least August 23, 2017, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
3
FUND BASICS
| HOLDINGS AS OF 10/31/165 | ||||||||||
| Holding | % of Net Assets | Line of Business | ||||||||
| Vanguard S&P 500 ETF | 35.1 | % | Exchange Traded Funds | |||||||
| iShares MSCI EAFE ETF | 26.9 | Exchange Traded Funds | ||||||||
| iShares Core MSCI Emerging Markets ETF | 12.6 | Exchange Traded Funds | ||||||||
| Goldman Sachs Financial Square Government Fund – Institutional Shares | 12.5 | Investment Companies | ||||||||
| iShares MSCI EAFE Small-Cap ETF | 11.2 | Exchange Traded Funds | ||||||||
| 5 | The Fund’s holdings may not be representative of the Fund’s future investments. |
4
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Performance Summary
October 31, 2016
The following graph shows the value, as of October 31, 2016, of a $1,000,000 investment made on April 30, 2015 (commencement of operations) in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the MSCI All Country World Index Investable Market Index (Net, USD, 50% Non-US Developed Hedged to USD) is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations may cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. In addition to the Investment Adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund.
| Global Managed Beta Fund’s Lifetime Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from April 30, 2015 through October 31, 2016.
| Average Annual Total Return through October 31, 2016 | One Year | Since Inception | ||
Institutional Shares (Commenced April 30, 2015) | 3.08% | -0.14% | ||
| ||||
5
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Schedule of Investments
October 31, 2016
| Shares | Description | Value | ||||||
| Exchange Traded Funds – 85.8% | ||||||||
| 402,988 | iShares Core MSCI Emerging Markets ETF | $ | 18,190,878 | |||||
| 670,998 | iShares MSCI EAFE ETF | 38,797,104 | ||||||
| 318,215 | iShares MSCI EAFE Small-Cap ETF | 16,197,144 | ||||||
| 258,977 | Vanguard S&P 500 ETF | 50,534,182 | ||||||
|
| |||||||
| TOTAL EXCHANGE TRADED FUNDS | ||||||||
| (Cost $118,202,461) | $ | 123,719,308 | ||||||
|
| |||||||
| Contracts | Exercise Price | Expiration Date | Value | |||||||||
| Option Contracts Purchased – 1.2% | ||||||||||||
| Options on Futures – 1.2% | ||||||||||||
Credit Suisse International (London) Call – Eurodollar Futures |
| |||||||||||
| 2158 | $ | 99.375 | 03/13/17 | $ | 26,975 | |||||||
Credit Suisse International (London) Call – Eurodollar Futures |
| |||||||||||
| 517 | 99.375 | 12/19/16 | 3,231 | |||||||||
Credit Suisse International (London) Call – Eurodollar Futures |
| |||||||||||
| 77 | 97.750 | 06/17/19 | 184,800 | |||||||||
Credit Suisse International (London) Call – Eurodollar Futures |
| |||||||||||
| 112 | 98.250 | 09/17/18 | 168,000 | |||||||||
Credit Suisse International (London) Call – Eurodollar Futures |
| |||||||||||
| 12 | 98.625 | 03/13/17 | 11,925 | |||||||||
Credit Suisse International (London) Call – Eurodollar Futures |
| |||||||||||
| 56 | 98.500 | 06/19/17 | 65,100 | |||||||||
Credit Suisse International (London) Call – Eurodollar Futures |
| |||||||||||
| 120 | 98.125 | 12/17/18 | 205,500 | |||||||||
Credit Suisse International (London) Call – Eurodollar Futures |
| |||||||||||
| 123 | 98.375 | 03/13/17 | 198,337 | |||||||||
Credit Suisse International (London) Call – Eurodollar Futures |
| |||||||||||
| 141 | 98.500 | 12/19/16 | 195,637 | |||||||||
Credit Suisse International (London) Call – Eurodollar Futures |
| |||||||||||
| 141 | 98.000 | 03/18/19 | 274,069 | |||||||||
Credit Suisse International (London) Call – Eurodollar Futures |
| |||||||||||
| 15 | 98.750 | 12/19/16 | 11,438 | |||||||||
Credit Suisse International (London) Call – Eurodollar Futures |
| |||||||||||
| 178 | 98.875 | 12/19/16 | 81,213 | |||||||||
Credit Suisse International (London) Call – Eurodollar Futures |
| |||||||||||
| 32 | 98.750 | 03/13/17 | 22,200 | |||||||||
Credit Suisse International (London) Call – Eurodollar Futures |
| |||||||||||
| 52 | 99.000 | 12/19/16 | 9,750 | |||||||||
Credit Suisse International (London) Call – Eurodollar Futures |
| |||||||||||
| 71 | 98.375 | 03/19/18 | 90,969 | |||||||||
Credit Suisse International (London) Call – Eurodollar Futures |
| |||||||||||
| 99 | 98.375 | 06/18/18 | 126,844 | |||||||||
| ||||||||||||
| TOTAL OPTION CONTRACTS PURCHASED – 1.2% | ||||||||||||
| (Cost $2,038,766) | $ | 1,675,988 | ||||||||||
| ||||||||||||
| Shares | Distribution Rate | Value | ||||||
| Investment Company(a)(b) – 12.5% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
| 18,075,352 | 0.300% | $ | 18,075,352 | |||||
| (Cost $18,075,352) | ||||||||
|
| |||||||
| TOTAL INVESTMENT COMPANIES | ||||||||
| (Cost $18,075,352) | $ | 18,075,352 | ||||||
|
| |||||||
| TOTAL INVESTMENTS – 99.5% | ||||||||
| (Cost $138,316,579) | $ | 143,470,648 | ||||||
|
| |||||||
|
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.5% | 775,253 | ||||||
|
| |||||||
| NET ASSETS – 100.0% | $ | 144,245,901 | ||||||
|
| |||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on October 31, 2016. | |
(b) | Represents an Affiliated Fund. | |
| ||
Currency Legend | ||
AUD | —Australian Dollar | |
CAD | —Canadian Dollar | |
CHF | —Swiss Franc | |
DKK | —Danish Krone | |
EUR | —Euro | |
GBP | —British Pound | |
HKD | —Hong Kong Dollar | |
ILS | —Israeli Shekel | |
JPY | —Japanese Yen | |
NOK | —Norwegian Krone | |
NZD | —New Zealand Dollar | |
SEK | —Swedish Krona | |
SGD | —Singapore Dollar | |
USD | —United States Dollar | |
Investment Abbreviations: | ||
ETF | —Exchange Traded Fund | |
PLC | —Public Limited Company | |
| ||
| 6 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At October 31, 2016, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| Counterparty | Currency Purchased | Currency Sold | Current Value | Settlement Date | Unrealized Gain | |||||||||||||||||||||||
Morgan Stanley & Co. International PLC | CHF | 620,000 | USD | 628,153 | $ | 628,479 | 12/21/16 | $ | 326 | |||||||||||||||||||
| DKK | 1,080,000 | USD | 159,741 | 159,785 | 12/21/16 | 44 | ||||||||||||||||||||||
| EUR | 1,390,000 | USD | 1,528,957 | 1,529,565 | 12/21/16 | 608 | ||||||||||||||||||||||
| GBP | 885,000 | USD | 1,084,250 | 1,084,631 | 12/21/16 | 381 | ||||||||||||||||||||||
| JPY | 100,000,000 | USD | 955,151 | 955,680 | 12/21/16 | 529 | ||||||||||||||||||||||
| SEK | 1,200,000 | USD | 133,157 | 133,215 | 12/21/16 | 58 | ||||||||||||||||||||||
| USD | 2,770,125 | AUD | 3,620,000 | 2,750,091 | 12/21/16 | 20,034 | ||||||||||||||||||||||
| USD | 3,451,093 | CHF | 3,320,000 | 3,365,399 | 12/21/16 | 85,694 | ||||||||||||||||||||||
| USD | 699,071 | DKK | 4,610,000 | 682,046 | 12/21/16 | 17,025 | ||||||||||||||||||||||
| USD | 11,338,774 | EUR | 10,040,000 | 11,048,082 | 12/21/16 | 290,692 | ||||||||||||||||||||||
| USD | 7,295,150 | GBP | 5,460,000 | 6,691,620 | 12/21/16 | 603,530 | ||||||||||||||||||||||
| USD | 1,195,070 | HKD | 9,260,000 | 1,194,400 | 12/21/16 | 670 | ||||||||||||||||||||||
| USD | 224,258 | ILS | 840,000 | 219,236 | 12/21/16 | 5,022 | ||||||||||||||||||||||
| USD | 8,906,862 | JPY | 907,000,000 | 8,668,020 | 12/21/16 | 238,842 | ||||||||||||||||||||||
| USD | 238,344 | NOK | 1,950,000 | 236,036 | 12/21/16 | 2,308 | ||||||||||||||||||||||
| USD | 74,131 | NZD | 100,000 | 71,371 | 12/21/16 | 2,760 | ||||||||||||||||||||||
| USD | 1,063,063 | SEK | 8,925,000 | 990,789 | 12/21/16 | 72,273 | ||||||||||||||||||||||
| USD | 467,747 | SGD | 630,000 | 452,976 | 12/21/16 | 14,771 | ||||||||||||||||||||||
| TOTAL | $ | 1,355,567 | ||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Schedule of Investments (continued)
October 31, 2016
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| Counterparty | Currency Purchased | Currency Sold | Current Value | Settlement Date | Unrealized Loss | |||||||||||||||||||||||
Morgan Stanley & Co. International PLC | AUD | 640,000 | USD | 486,257 | $ | 486,204 | 12/21/16 | $ | (53 | ) | ||||||||||||||||||
| CAD | 2,640,000 | USD | 2,047,796 | 1,969,043 | 12/21/16 | (78,753 | ) | |||||||||||||||||||||
| HKD | 1,220,000 | USD | 157,367 | 157,362 | 12/21/16 | (5 | ) | |||||||||||||||||||||
| ILS | 200,000 | USD | 52,207 | 52,199 | 12/21/16 | (8 | ) | |||||||||||||||||||||
| NOK | 250,000 | USD | 30,261 | 30,261 | 12/21/16 | — | ||||||||||||||||||||||
| NZD | 20,000 | USD | 14,277 | 14,274 | 12/21/16 | (3 | ) | |||||||||||||||||||||
| SGD | 100,000 | USD | 71,907 | 71,901 | 12/21/16 | (6 | ) | |||||||||||||||||||||
| USD | 335,598 | CAD | 450,000 | 335,632 | 12/21/16 | (35 | ) | |||||||||||||||||||||
| TOTAL | $ | (78,863 | ) | |||||||||||||||||||||||||
FUTURES CONTRACTS — At October 31, 2016, the Fund had the following futures contracts:
| Type | Number of Contracts Long (Short) | Expiration Date | Current Value | Unrealized Gain (Loss) | ||||||||||
Russell Mini 2000 Index | 113 | December 2016 | $ | 13,439,090 | $ | (701,967 | ) | |||||||
S&P Toronto Stock Exchange 60 Index | 33 | December 2016 | 4,263,699 | 63,303 | ||||||||||
| TOTAL | $ | (638,664 | ) | |||||||||||
| 8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Statement of Assets and Liabilities
October 31, 2016
| Assets: | ||||||
Investments of unaffiliated issuers, at value (cost $120,241,227) | $ | 125,395,296 | ||||
Investments of affiliated issuers, at value (cost $18,075,352) | 18,075,352 | |||||
Cash | 3,534,664 | |||||
Unrealized gain on forward foreign currency exchange contracts | 1,355,567 | |||||
Variation margin on certain derivative contracts | 226,585 | |||||
Receivables: | ||||||
Investments sold | 27,053,661 | |||||
Collateral on certain derivative contracts(a) | 944,698 | |||||
Reimbursement from investment adviser | 14,418 | |||||
Dividends and interest | 4,708 | |||||
| Total assets | 176,604,949 | |||||
| Liabilities: | ||||||
Unrealized loss on forward foreign currency exchange contracts | 78,863 | |||||
Payables: | ||||||
Fund shares redeemed | 31,631,337 | |||||
Collateral on certain derivative contracts | 610,000 | |||||
Management fees | 11,975 | |||||
Investments purchased | 4,593 | |||||
Transfer Agency fees | 3,006 | |||||
Accrued expenses | 19,274 | |||||
| Total liabilities | 32,359,048 | |||||
| Net Assets: | ||||||
Paid-in capital | 138,511,791 | |||||
Undistributed net investment income | 1,076,187 | |||||
Accumulated net realized loss | (1,132,498 | ) | ||||
Net unrealized gain | 5,790,421 | |||||
| NET ASSETS | $ | 144,245,901 | ||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | 14,656,891 | |||||
Net asset value, offering and redemption price per share: | $9.84 | |||||
| (a) | Represents amount segregated for initial margin and/or collateral on futures transactions. |
| The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Statement of Operations
For the Fiscal Year Ended October 31, 2016
| Investment income: | ||||||
Dividends — unaffiliated issuers | $ | 2,893,889 | ||||
Dividends — affiliated issuers | 29,238 | |||||
| Total investment income | 2,923,127 | |||||
| Expenses: | ||||||
Management fees | 424,841 | |||||
Professional fees | 87,876 | |||||
Custody, accounting and administrative services | 55,703 | |||||
Registration fees | 28,330 | |||||
Transfer Agency fees | 28,323 | |||||
Printing and mailing costs | 28,234 | |||||
Trustee fees | 21,625 | |||||
Other | 2,064 | |||||
| Total expenses | 676,996 | |||||
Less — expense reductions | (443,298 | ) | ||||
| Net expenses | 233,698 | |||||
| NET INVESTMENT INCOME | 2,689,429 | |||||
| Realized and unrealized gain (loss): | ||||||
Net realized gain (loss) from: | ||||||
Investments — unaffiliated issuers | (2,559,094 | ) | ||||
Futures contracts | 1,927,543 | |||||
Forward foreign currency exchange contracts | (555,197 | ) | ||||
Foreign currency transactions | (1,649 | ) | ||||
Net change in unrealized gain (loss) on: | ||||||
Investments | 2,898,291 | |||||
Futures contracts | (1,035,352 | ) | ||||
Forward foreign currency exchange contracts | 1,130,821 | |||||
Foreign currency translation | (1,688 | ) | ||||
| Net realized and unrealized gain | 1,803,675 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 4,493,104 | ||||
| 10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Statements of Changes in Net Assets
| For the Fiscal Year Ended October 31, 2016 | For the Period Ended October 31, 2015(a) | |||||||||
| From operations: | ||||||||||
Net investment income | $ | 2,689,429 | $ | 298,117 | ||||||
Net realized loss | (1,188,397 | ) | (16,536 | ) | ||||||
Net change in unrealized gain | 2,992,072 | 2,798,349 | ||||||||
| Net increase in net assets resulting from operations | 4,493,104 | 3,079,930 | ||||||||
| Distributions to shareholders: | ||||||||||
From net investment income | (1,511,756 | ) | — | |||||||
From net realized loss | (327,168 | ) | — | |||||||
| Total distributions to shareholders | (1,838,924 | ) | — | |||||||
| From share transactions: | ||||||||||
Proceeds from sales of shares | 44,950,010 | 136,000,015 | ||||||||
Reinvestment of distributions | 1,838,924 | — | ||||||||
Cost of shares redeemed | (42,181,348 | ) | (2,095,810 | ) | ||||||
| Net increase in net assets resulting from share transactions | 4,607,586 | 133,904,205 | ||||||||
| TOTAL INCREASE | 7,261,766 | 136,984,135 | ||||||||
| Net assets: | ||||||||||
Beginning of year | 136,984,135 | — | ||||||||
End of year | $ | 144,245,901 | $ | 136,984,135 | ||||||
| Undistributed net investment income | $ | 1,076,187 | $ | 455,975 | ||||||
| (a) | Commenced operations April 30, 2015. |
| The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| From investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||
| Year - Share Class | Net asset | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized (loss) | Total distributions | |||||||||||||||||||||||
| FOR THE FISCAL YEAR ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||
2016 - Institutional Shares | $ | 9.68 | $ | 0.18 | $ | 0.11 | $ | 0.29 | $ | (0.11 | ) | $ | (0.02 | ) | $ | (0.13 | ) | |||||||||||||
| FOR THE PERIOD ENDED OCTOBER 31 | ||||||||||||||||||||||||||||||
2015 - Institutional Shares (Commenced April 30, 2015) | 10.00 | 0.05 | (0.37 | ) | (0.32 | ) | — | — | — | |||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (c) | Expense ratios exclude the expenses of the other investment companies and exchange traded funds in which the Fund invests. |
| (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (e) | Annualized. |
| (f) | Portfolio Turnover rounds to less than 0.5%. |
| 12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| Net asset value, end of year | Total return(b) | Net assets, end of year (in 000s) | Ratio of net expenses to average net assets(c) | Ratio of total expenses to average net assets(c) | Ratio of net investment income to average net assets | Portfolio turnover rate(d) | ||||||||||||||||||||||||||||||||||
| $ | 9.84 | 3.08 | % | $ | 144,246 | 0.17 | % | 0.48 | % | 1.90 | % | 37 | % | |||||||||||||||||||||||||||
| 9.68 | (3.20 | ) | 136,984 | 0.37 | (e) | 0.68 | (e) | 1.04 | (e) | — | (f) | |||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Notes to Financial Statements
October 31, 2016
| 1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. Goldman Sachs Global Managed Beta Fund (the “Fund”) is a diversified fund that currently offers one class of shares — Institutional Shares. The Fund commenced operations on April 30, 2015. Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust.
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.
A. Investment Valuation — The Fund’s valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income, net of any foreign withholding taxes, less any amounts reclaimable, and securities lending income. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract.
C. Expenses — Expenses incurred directly by the Fund are charged to the Fund, and certain expenses incurred by the Trust that may not solely relate to the Fund are allocated to the Fund and the other applicable funds of the Trust on a straight-line and/or pro-rata basis depending upon the nature of the expenses, and are accrued daily.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually.
Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Fund’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. Foreign Currency Translation — The accounting records and reporting currency of the Fund are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statement of Operations within net change in unrealized gain (loss) on foreign currency translations. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
14
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Fund, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s portfolio investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Underlying Funds (including Money Market Funds) — Underlying Funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share of the Institutional Share class on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Fund invests in Underlying Funds that fluctuate in value, the Fund’s shares will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers.
Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or settlement price and typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model
15
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Notes to Financial Statements (continued)
October 31, 2016
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
A forward foreign currency contract is a forward contract in which the Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked-to-market daily at the applicable forward rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. Option Contracts — When the Fund writes call or put option contracts, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts.
Upon the purchase of a call option or a put option by the Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.
C. Fair Value Hierarchy — The following is a summary of the Fund’s investments and derivatives classified in the fair value hierarchy as of October 31, 2016:
| GLOBAL MANAGED BETA | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Exchange Traded Funds | $ | 123,719,308 | $ | — | $ | — | ||||||
Investment Company | 18,075,352 | — | — | |||||||||
| Total | $ | 141,794,660 | $ | — | $ | — | ||||||
16
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| GLOBAL MANAGED BETA (continued) | ||||||||||||
| Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Options Purchased | $ | 1,675,988 | $ | — | $ | — | ||||||
Forward Foreign Currency Exchange Contracts(a) | — | 1,355,567 | — | |||||||||
Futures Contracts(a) | 63,303 | — | — | |||||||||
| Total | $ | 1,739,291 | $ | 1,355,567 | $ | — | ||||||
| Liabilities(a) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (78,863 | ) | $ | — | |||||
Futures Contracts | (701,967 | ) | — | — | ||||||||
| Total | $ | (701,967 | ) | $ | (78,863 | ) | $ | — | ||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedule of Investments.
| 4. INVESTMENTS IN DERIVATIVES |
The following table sets forth, by certain risk types, the gross value of derivative contracts as of October 31, 2016. These instruments were used as part of the Fund’s investment strategies and to obtain and/or manage exposure related to the risks below. The values in the table below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Fund’s net exposure.
| Risk | Statements of Assets and Liabilities | Assets | Statements of Assets and Liabilities | Liabilities | ||||||||
Interest | Investment, at value | $ | 1,675,988 | — | $ | — | ||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 1,355,567 | Payable for unrealized loss on forward foreign currency exchange contracts | (78,863) | ||||||||
Equity | Variation margin on certain derivative contracts(a) | 63,303 | Variation margin on certain derivative contracts(a) | (701,967) | ||||||||
| Total | $ | 3,094,858 | $ | (780,030) | ||||||||
| (a) | Represents unrealized gain (loss) on futures contracts described in the Additional Investment Information section of the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
17
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Notes to Financial Statements (continued)
October 31, 2016
| 4. INVESTMENTS IN DERIVATIVES (continued) |
The following table sets forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended October 31, 2016. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statement of Operations:
| Risk | Statements of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
| Interest | Net realized gain (loss) from investment/Net unrealized gain (loss) on investments | $ | 127,833 | $ | (467,037 | ) | 16 | |||||||
| Currency | Net realized gain (loss) from forward foreign currency exchange contracts and/Net unrealized gain (loss) on forward foreign currency exchange contracts | (555,197 | ) | 1,130,821 | 37 | |||||||||
| Equity | Net realized gain (loss) on futures contracts/Net unrealized gain (loss) on futures contracts | 1,927,543 | (1,035,352 | ) | 133 | |||||||||
| Total | $ | 1,500,179 | $ | (371,568 | ) | 186 | ||||||||
| (a) | Average number of contracts is based on the average of month end balances for the fiscal year ended October 31, 2016. |
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivatives’ counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs OTC derivatives (including forward foreign currency exchange contracts, and certain options and swaps) and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
Collateral and margin requirements differ between exchange traded derivatives and OTC derivatives. Margin requirements are established by the broker or clearing house for exchange-traded and centrally cleared derivatives (financial futures contracts, options and centrally cleared swaps) pursuant to governing agreements for those instrument types. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract-specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. Additionally, the Fund may be required to post initial margin to the counterparty, the terms of which would be outlined in the confirmation of the OTC transaction.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as receivables/payables for collateral on certain derivative contracts. Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that the Investment Adviser believes to be of good standing and by monitoring the financial stability of those counterparties.
Additionally, the netting of assets and liabilities and the offsetting of collateral pledged or received are based on contractual netting/set-off provisions in the ISDA Master Agreement or similar agreements. However, in the event of a default or insolvency of a counterparty, a court could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of setoff that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws.
18
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| 4. INVESTMENTS IN DERIVATIVES (continued) |
The following table sets forth the Fund’s net exposure for derivative instruments that are subject to enforceable master netting arrangements or similar agreements as of October 31, 2016:
| Derivative Assets(1) | Derivative Liabilities(1) | Net Derivative Asset (Liabilities) | Collateral (Received) Pledged(1) | Net Amount(2) | ||||||||||||||||
| Counterparty | Forward Currency Contracts | Forward Currency Contracts | ||||||||||||||||||
Morgan Stanley & Co. International PLC | $ | 1,355,567 | $ | (78,863 | ) | $ | 1,276,704 | $ | (610,000 | ) | $ | 666,704 | ||||||||
| (1) | Gross amounts available for offset but not netted in the Statement of Assets and Liabilities. |
| (2) | Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. Net amount excludes any over-collateralized amounts. |
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of 0.30% of the Fund’s average daily net assets.
GSAM has agreed to waive all management fees payable by the Fund. This arrangement will remain in place through at least August 23, 2017 and prior to such date GSAM may not terminate this arrangement without the approval of the Trustees. For the fiscal year ended October 31, 2016, GSAM waived $424,841 in management fees.
B. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.02% of the average daily net assets of the Institutional Shares.
C. Other Expense Agreements and Affiliated Transactions ��� GSAM has agreed to limit certain “Other Expense” of the Fund (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, shareholder meeting, litigation, indemnification, and other extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of the Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. This Other Expense limitation as an annual percentage rate of average daily net assets for the Fund is 0.204%. For the fiscal year ended October 31, 2016, the Fund did not have any other expense reimbursements from GSAM.
The Fund invests in Institutional Shares of Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to reduce or limit “Other Expenses” in an amount equal to the management fee it earns as an investment adviser to any of the affiliated money market funds in which the Fund invests. For the fiscal year ended October 31, 2016, GSAM waived $18,457 of the Fund’s management fee.
These Other Expense limitations will remain in place through at least August 23, 2017, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitations described above.
D. Line of Credit Facility — As of October 31, 2016, the Fund participated in a $1,100,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates (“Other Borrowers”). This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based
19
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Notes to Financial Statements (continued)
October 31, 2016
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the fiscal year ended October 31, 2016, the Fund did not have any borrowings under the facility.
E. Other Transactions with Affiliates — The table below shows the transaction in and earnings from investment in the Underlying Fund for the fiscal year ended October 31, 2016:
| Underlying Fund | Market Value 10/31/2015 | Purchases at Cost | Proceeds from Sales | Market Value 10/31/2016 | Dividend Income | |||||||||||||||||
Goldman Sachs Financial Square Government Fund | $ | 9,060,782 | $ | 39,769,663 | $ | (30,755,093 | ) | $ | 18,075,352 | $ | 29,238 | |||||||||||
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended October 31, 2016, were $47,879,251 and $45,832,068, respectively.
| 7. TAX INFORMATION |
The tax character of distributions paid during the fiscal year ended October 31, 2016 was as follows:
Distribution paid from: | ||||
Ordinary income | $ | 1,642,993 | ||
Net long-term capital gains | 195,931 | |||
Total taxable distributions | $ | 1,838,924 |
There were no distributions paid during the period ended October 31, 2015.
The tax character of distributions paid during the fiscal year ended October 31, 2016 was as follows:
Undistributed ordinary income — net | $ | 2,332,217 | ||
Capital loss carryforwards: | ||||
Perpetual Short-Term | (113,474 | ) | ||
Timing differences (Straddle Deferral) | $ | (11,825 | ) | |
Unrealized gains (losses) — net | 3,527,192 | |||
Total accumulated earnings (losses) net | $ | 5,734,110 |
20
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| 7. TAX INFORMATION (continued) |
As of October 31, 2016, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax Cost | $ | 140,400,349 | ||
Gross unrealized gain | 5,714,395 | |||
Gross unrealized loss | (2,644,096 | ) | ||
Net unrealized gains (losses) on securities | $ | 3,070,299 | ||
Net unrealized gain (loss) on other investments | 456,893 | |||
Net unrealized gains (losses) | $ | 3,527,192 |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains/losses on regulated futures and options contracts, net mark to market gain/loss on foreign currency contracts.
In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from dividend redesignations and differences in the tax treatment of foreign currency transactions.
Accumulated Net Realized Gain (Loss) | Undistributed Net Investment Income (Loss) | |
$557,461 | $(557,461) |
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
| 8. OTHER RISKS |
The Fund’s risks include, but are not limited to, the following:
Derivatives Risk — Loss may result from the Fund’s investments in derivative instruments. These instruments may be illiquid, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Fund. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. Losses from investments in derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the United States. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Fund invests. Loss may also result from the imposition of exchange controls, confiscations and other government restrictions by the United States or other governments, or from problems in registration, settlement or custody. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
21
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Notes to Financial Statements (continued)
October 31, 2016
| 8. OTHER RISKS (continued) |
Geographic and Sector Risk — As a result of the Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Fund’s investments more than if its investments were not so concentrated.
Investments in Other Investment Companies — As a shareholder of another investment company, including an exchange traded fund (“ETF”), the Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Large Shareholder Transactions Risk — The Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include the Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
| 9. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
| 10. SUBSEQUENT EVENTS |
Subsequent events after the Statements of Assets and Liabilities date have been evaluated and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
22
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| 11. SUMMARY OF SHARE TRANSACTIONS |
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015(a) | |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 4,638,241 | $ | 44,950,010 | 14,383,148 | $ | 136,000,015 | ||||||||||
Reinvestment of distributions | 195,312 | 1,838,924 | — | — | ||||||||||||
Shares redeemed | (4,329,302 | ) | (42,181,348 | ) | (230,508 | ) | (2,095,810 | ) | ||||||||
NET INCREASE | 504,251 | $ | 4,607,586 | 14,152,640 | $ | 133,904,205 | ||||||||||
| (a) | Commenced operations on April 30, 2015. |
23
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Goldman Sachs Trust
and Shareholders of the Goldman Sachs Global Managed Beta Fund:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Goldman Sachs Global Managed Beta Fund (the “Fund”), a fund of the Goldman Sachs Trust, at October 31, 2016, and the results of its operations, the changes in its net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2016 by correspondence with the custodian, brokers, transfer agent of the underlying fund and the application of alternative auditing procedures where securities purchased confirmations had not been received, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
December 23, 2016
24
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Fund Expenses — Six Month Period Ended October 31, 2016 (Unaudited) |
As a shareholder of Institutional Shares of the Fund, you incur ongoing costs and other Fund expenses.
This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from May 1, 2016 through October 31, 2016, which represents a period of 184 days out of 366 day year.
Actual Expenses — The first line in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Share Class | Beginning Account Value 5/1/16 | Ending Account Value 10/31/16 | Expenses Paid for the 6 months ended 10/31/16* | |||||||||
| Institutional Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,045.70 | $ | 0.72 | ||||||
Hypothetical 5% return | 1,000.00 | 1,024.43 | + | 0.71 | ||||||||
| * | Expenses for each share class are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended October 31, 2016. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: 0.14% |
| + | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
25
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Global Managed Beta Fund (the “Fund”) is an investment portfolio of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Fund at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Fund.
The Management Agreement was most recently approved for continuation until June 30, 2017 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 15-16, 2016 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to the Fund, such matters included:
| (a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
| (i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
| (ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
| (iii) | trends in employee headcount; |
| (iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
| (v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
26
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
| (b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”) and a benchmark performance index; and general investment outlooks in the markets in which the Fund invests; |
| (c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
| (d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
| (e) | fee and expense information for the Fund, including: |
| (i) | the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; and |
| (ii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
| (f) | with respect to the investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
| (g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
| (h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates; |
| (i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
| (j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, portfolio trading, distribution and other services; |
| (k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
| (l) | information regarding commissions paid by the Fund and broker oversight, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
| (m) | portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
| (n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
| (o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
27
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
The Trustees also received an overview of the Fund’s distribution arrangements. They received information regarding the Fund’s assets and share purchase and redemption activity. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Fund and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Fund. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Fund by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the regulatory and control environment in which the Fund and its service providers operate, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Fund and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Fund and the Investment Adviser and its affiliates.
Investment Performance
The Trustees noted that the Fund had launched on April 30, 2015 and did not yet have a meaningful performance history.
28
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by the Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Fund, which included both advisory and administrative services that were directed to the needs and operations of the Fund as a registered mutual fund.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Fund. The analyses provided a comparison of the Fund’s management fee to those of a relevant peer group and category universe; an expense analysis which compared the Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing the Fund’s net expenses to the peer and category medians. The analyses also compared the Fund’s transfer agency, custody, and distribution fees, other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Fund, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Fund differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed the Investment Adviser’s revenues and pre-tax profit margins with respect to the Trust and the Fund. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization had audited the expense allocation methodology and was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology and profitability analysis calculations. Profitability data for the Trust and the Fund were provided for 2015, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.
29
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Economies of Scale
The Trustees considered the information that had been provided regarding the Investment Adviser’s profitability.
The Trustees considered that the Fund is offered to the Investment Adviser’s institutional clients as part of an investment model whereby the Fund and other funds act as core “building blocks” with which the client and the Investment Adviser form an investment strategy for the client’s portfolio. The Trustees considered the Investment Adviser’s representations that its clients benefit from this investment model with increased liquidity, increased investment oversight, access to new investment strategies, economies of scale, and reduced complexity in managing client portfolios. The Trustees considered the Investment Adviser’s undertaking to waive the management fees payable by the Fund. In this regard, the Trustees noted that, pursuant to the model, clients pay a single management fee for the Investment Adviser’s management of their accounts, and that fund-level management fees are waived in order to avoid charging two layers of management fees.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund as stated above, including: (a) transfer agency fees received by Goldman, Sachs & Co. (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Fund; (c) trading efficiencies resulting from aggregation of orders of the Fund with those for other funds or accounts managed by the Investment Adviser; (d) the Investment Adviser’s ability to leverage the infrastructure designed to service the Fund on behalf of its other clients; (e) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (f) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Fund; and (g) the possibility that the working relationship between the Investment Adviser and the Fund’s third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
30
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Other Benefits to the Fund and Its Shareholders
The Trustees also noted that the Fund receives certain potential benefits as a result of its relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Fund with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors because of the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers because of the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Fund as a result of the size and reputation of the Goldman Sachs organization; (e) the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Fund because of the reputation of the Goldman Sachs organization; (g) the Fund’s access, through the Investment Adviser, to certain firmwide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (h) the Fund’s access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Fund’s shareholders invested in the Fund in part because of the Fund’s relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by the Fund were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and the Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit the Fund and its shareholders and that the Management Agreement should be approved and continued with respect to the Fund until June 30, 2017.
31
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Trustees and Officers (Unaudited)
Independent Trustees
Name, | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Ashok N. Bakhru Age: 74 | Chairman of the Board of Trustees | Since 1996 (Trustee since 1991) | Mr. Bakhru is retired. He was formerly Director, Apollo Investment Corporation (a business development company) (2008-2013); President, ABN Associates (a management and financial consulting firm) (1994-1996 and 1998-2012); Trustee, Scholarship America (1998-2005); Trustee, Institute for Higher Education Policy (2003-2008); Director, Private Equity Investors — III and IV (1998-2007), and Equity-Linked Investors II (April 2002-2007).
Chairman of the Board of Trustees — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | 142 | None | |||||
Kathryn A. Cassidy Age: 62 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Diana M. Daniels Age: 67 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Herbert J. Markley Age: 66 | Trustee | Since 2013 | Mr. Markley is retired. Formerly, he was Executive Vice President, Deere & Company (an agricultural and construction equipment manufacturer) (2007-2009); and President, Agricultural Division, Deere & Company (2001-2007). Previously, Mr. Markley served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Jessica Palmer Age: 67 | Trustee | Since 2007 | Ms. Palmer is retired. She is Director, Emerson Center for the Arts and Culture (2011-Present); and was formerly a Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
32
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Trustees and Officers (Unaudited) (continued)
Independent Trustees
Name, | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Roy W. Templin Age: 56 | Trustee | Since 2013 | Mr. Templin is retired. He recently served as Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); and was formerly Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Gregory G. Weaver Age: 65 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | Verizon Communications Inc. | |||||
33
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Trustees and Officers (Unaudited) (continued)
Interested Trustees*
Name, | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
James A. McNamara Age: 54 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993- April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | 140 | None | |||||
Alan A. Shuch Age: 66 | Trustee | Since 1990 | Advisory Director — GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994-May 1999).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
| * | These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
| 1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of October 31, 2016. |
| 2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirement shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. One Trustee has been granted a waiver from the foregoing policies which permits him to serve until December 31, 2017. |
| 3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of October 31, 2016, Goldman Sachs Trust consisted of 92 portfolios (91 of which offered shares to the public); Goldman Sachs Variable Insurance Trust consisted of 14 portfolios; Goldman Sachs Trust II consisted of 17 portfolios (15 of which offered shares to the public); Goldman Sachs BDC, Inc., Goldman Sachs Private Middle Market Credit LLC, Goldman Sachs MLP Income Opportunities Fund, and Goldman Sachs MLP and Energy Renaissance Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 15 portfolios (eight of which offered shares to the public). Goldman Sachs Private Middle Market Credit LLC does not offer shares to the public. |
| 4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
34
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 54 | Trustee and President | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 39 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Middle Market Lending LLC; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
Scott M. McHugh 200 West Street New York, NY 10282 Age: 45 | Treasurer, Senior Vice President and Principal Financial Officer | Since 2009 (Principal Financial Officer since 2013) | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (February 2007-December 2015); Assistant Treasurer of certain mutual funds administered by DWS Scudder (2005-2007); and Director (2005-2007), Vice President (2000-2005), and Assistant Vice President (1998-2000), Deutsche Asset Management or its predecessor (1998-2007).
Treasurer, Senior Vice President and Principal Financial Officer — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
| 1 | Information is provided as of October 31, 2016. |
| 2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
35
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Goldman Sachs Trust — Global Managed Beta Fund — Tax Information (Unaudited)
For the year ended October 31, 2016, 26.34%, of the dividends paid from net investment company taxable income by the Global Managed Beta Fund, qualify for the dividends received deduction available to corporations.
For the year ended October 31, 2016, 77.98% of the dividends paid from net investment company taxable income by the Global Managed Beta Fund qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
During the year ended October 31, 2016, the Global Managed Beta Fund designates $130,621 as short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.
Pursuant to Section 852 of the Internal Revenue Code, the Global Managed Beta Fund designates $195,931, or if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended October 31, 2016.
36
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.15 trillion in assets under supervision as of September 30, 2016, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman, Sachs & Co. subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| n | Financial Square Treasury Solutions Fund1 |
| n | Financial Square Government Fund1 |
| n | Financial Square Money Market Fund2 |
| n | Financial Square Prime Obligations Fund2 |
| n | Financial Square Treasury Instruments Fund1 |
| n | Financial Square Treasury Obligations Fund1 |
| n | Financial Square Federal Instruments Fund1 |
| n | Financial Square Tax-Exempt Money Market Fund2 |
Investor FundsSM
| n | Investor Money Market Fund3 |
| n | Investor Tax-Exempt Money Market Fund3,4 |
Fixed Income
Short Duration and Government
| n | Enhanced Income Fund |
| n | High Quality Floating Rate Fund |
| n | Short-Term Conservative Income Fund5 |
| n | Short Duration Government Fund |
| n | Short Duration Income Fund |
| n | Government Income Fund |
| n | Inflation Protected Securities Fund |
Multi-Sector
| n | Bond Fund |
| n | Core Fixed Income Fund |
| n | Global Income Fund |
| n | Strategic Income Fund |
Municipal and Tax-Free
| n | High Yield Municipal Fund |
| n | Dynamic Municipal Income Fund |
| n | Short Duration Tax-Free Fund |
Single Sector
| n | Investment Grade Credit Fund |
| n | U.S. Mortgages Fund |
| n | High Yield Fund |
| n | High Yield Floating Rate Fund |
| n | Emerging Markets Debt Fund |
| n | Local Emerging Markets Debt Fund |
| n | Dynamic Emerging Markets Debt Fund |
Fixed Income Alternatives
| n | Long Short Credit Strategies Fund |
| n | Fixed Income Macro Strategies Fund |
Fundamental Equity
| n | Growth and Income Fund |
| n | Small Cap Value Fund |
| n | Small/Mid Cap Value Fund |
| n | Mid Cap Value Fund |
| n | Large Cap Value Fund |
| n | Focused Value Fund |
| n | Capital Growth Fund |
| n | Strategic Growth Fund |
| n | Focused Growth Fund |
| n | Small/Mid Cap Growth Fund |
| n | Flexible Cap Growth Fund |
| n | Concentrated Growth Fund |
| n | Technology Opportunities Fund |
| n | Growth Opportunities Fund |
| n | Rising Dividend Growth Fund |
| n | Dynamic U.S. Equity Fund |
| n | Income Builder Fund |
Tax-Advantaged Equity
| n | U.S. Tax-Managed Equity Fund |
| n | International Tax-Managed Equity Fund |
| n | U.S. Equity Dividend and Premium Fund |
| n | International Equity Dividend and Premium Fund |
Equity Insights
| n | Small Cap Equity Insights Fund |
| n | U.S. Equity Insights Fund |
| n | Small Cap Growth Insights Fund |
| n | Large Cap Growth Insights Fund |
| n | Large Cap Value Insights Fund |
| n | Small Cap Value Insights Fund |
| n | International Small Cap Insights Fund6 |
| n | International Equity Insights Fund |
| n | Emerging Markets Equity Insights Fund |
Fundamental Equity International
| n | Strategic International Equity Fund |
| n | Focused International Equity Fund |
| n | Asia Equity Fund |
| n | Emerging Markets Equity Fund |
| n | N-11 Equity Fund |
Select Satellite
| n | Real Estate Securities Fund |
| n | International Real Estate Securities Fund |
| n | Commodity Strategy Fund |
| n | Global Real Estate Securities Fund |
| n | Dynamic Commodity Strategy Fund |
| n | Dynamic Allocation Fund |
| n | Absolute Return Tracker Fund |
| n | Long Short Fund |
| n | Managed Futures Strategy Fund |
| n | MLP Energy Infrastructure Fund |
| n | Multi-Manager Alternatives Fund |
| n | Multi-Asset Real Return Fund |
| n | Absolute Return Multi-Asset Fund |
| n | Global Infrastructure Fund |
Total Portfolio Solutions
| n | Global Managed Beta Fund |
| n | Multi-Manager Non-Core Fixed Income Fund |
| n | Multi-Manager U.S. Dynamic Equity Fund |
| n | Multi-Manager Global Equity Fund |
| n | Multi-Manager International Equity Fund |
| n | Tactical Tilt Overlay Fund7 |
| n | Balanced Strategy Portfolio |
| n | Multi-Manager U.S. Small Cap Equity Fund |
| n | Multi-Manager Real Assets Strategy Fund |
| n | Growth and Income Strategy Portfolio |
| n | Growth Strategy Portfolio |
| n | Equity Growth Strategy Portfolio |
| n | Satellite Strategies Portfolio |
| n | Enhanced Dividend Global Equity Portfolio |
| n | Tax-Advantaged Global Equity Portfolio |
| n | Strategic Factor Allocation Fund |
| n | Target Date 2020 Portfolio |
| n | Target Date 2025 Portfolio |
| n | Target Date 2030 Portfolio |
| n | Target Date 2035 Portfolio |
| n | Target Date 2040 Portfolio |
| n | Target Date 2045 Portfolio |
| n | Target Date 2050 Portfolio |
| n | Target Date 2055 Portfolio |
| n | GQG Partners International Opportunities Fund |
| 1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | Effective on March 31, 2016, the Goldman Sachs Financial Square Tax-Free Money Market Fund was renamed the Goldman Sachs Investor Tax-Exempt Money Market Fund. |
| 5 | Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund. |
| 6 | Effective at the close of business on February 5, 2016, the Goldman Sachs International Small Cap Fund was reorganized with and into the Goldman Sachs International Small Cap Insights Fund. |
| 7 | Effective on June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman, Sachs & Co.
| *This | list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
TRUSTEES Ashok N. Bakhru, Chairman Kathryn A. Cassidy Diana M. Daniels Herbert J. Markley James A. McNamara Jessica Palmer Alan A. Shuch Roy W. Templin Gregory G. Weaver | OFFICERS James A. McNamara, President Scott M. McHugh, Principal Financial Officer, Senior Vice President and Treasurer Caroline L. Kraus, Secretary | |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser | |
Visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (I) without charge, upon request by calling 1-800-621-2550 (for Institutional Shareholders); and (II) on the Securities and Exchange Commission (’’SEC’’) web site at http://www.sec.gov.
The website links provided are for your convenience only and are not an endorsement or recommendation by GSAM of any of these websites or the products or services offered. GSAM is not responsible for the accuracy and validity of the content of these websites.
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Forms N-Q. The Fund’s Forms N-Q are available on the SEC’s web site at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. The Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-621-2550 (for Institutional Shareholders).
Fund holdings and allocations shown are as of October 31, 2016 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider the Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about the Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling 1-800-621-2550.
© 2016 Goldman Sachs. All rights reserved. 74901-TMPL- 12/2016 MGDBETAAR-16/ 162
Goldman Sachs Funds
| Annual Report | October 31, 2016 | |||
International Equity Insights Funds | ||||
Emerging Markets Equity Insights | ||||
International Equity Insights | ||||
International Small Cap Insights | ||||
Goldman Sachs International Equity
Insights Funds
| n | EMERGING MARKETS EQUITY INSIGHTS |
| n | INTERNATIONAL EQUITY INSIGHTS |
| n | INTERNATIONAL SMALL CAP INSIGHTS |
TABLE OF CONTENTS | ||||
Investment Process | 1 | |||
Market Review | 4 | |||
Portfolio Management Discussions and Performance Summaries | 8 | |||
Schedules of Investments | 28 | |||
Financial Statements | 46 | |||
Financial Highlights | 50 | |||
Notes to the Financial Statements | 56 | |||
Report of the Independent Registered Public Accounting Firm | 73 | |||
Other Information | 74 | |||
| NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Goldman Sachs’ International Equity Insights Investment Process
| n | Comprehensive – We forecast returns on over 8,000 international stocks and 43 equity markets on a daily basis. |
| n | Rigorous – We evaluate stocks, countries and currencies based on fundamental investment criteria that have outperformed historically. |
| n | Objective – Our stock and equity market selection process is free from emotion that may lead to biased investment decisions. |
| n | Our computer optimization process allocates risk to our high conviction investment ideas and constructs funds that strive to neutralize systematic risks and deliver better returns. |
| n | We use proprietary risk models that are designed to be more precise, more focused and faster to respond because they seek to identify, track and manage risk specific to our process, using daily data. |
Fully invested, well-diversified international portfolio that seeks to:
| n | Blend top-down market views with bottom-up stock selection. |
| n | Maintain style, sector, risk and capitalization characteristics similar to the benchmark. |
| n | Achieve excess returns by taking many small diversified stock positions. Additionally, in the Goldman Sachs Emerging Markets Equity Insights Fund and the Goldman Sachs International Equity Insights Fund we take intentional country bets. |
1
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Enhancements Made to Proprietary Quantitative Model during the 12-Month Period Ended October 31, 2016
We continuously look for ways to improve our investment process. Accordingly, we introduced a number of enhancements to our proprietary quantitative model during the 12-month period ended October 31, 2016 (the “Reporting Period”).
We enhanced our Management theme in Europe and the emerging markets by expanding the scope of an existing signal that looks at managements’ personal transactions in the stock of their respective company. Corporate executives purchasing or selling shares can potentially signal their conviction in the company’s stock when assessed under the right circumstances. We obtain and analyze this information through regulatory filings for more than 7,500 companies globally. In addition, we expanded the scope of two signals within our global linkages theme. First, we extended a signal, which analyzes patent data to identify economically linked companies, to all investment regions. We now analyze about 40 million patents from various patent offices for more than 3,000 companies globally to establish the economic linkages between stocks of various industries. Second, we extended a signal that establishes economic linkages between companies in the automotive supply chain from Japan to the Europe investment region. We take a differentiated, region-specific approach and analyze the potential relationships between the stock returns of suppliers and manufacturers multiple levels down the supply chain. During the Reporting Period, we also extended a signal within our Profitability theme to the emerging markets and Japan investment regions. The signal analyzes web traffic data that we believe can potentially forecast corporate revenue growth. We analyze this information for about 4,000 companies spanning across various sectors.
In addition, we undertook research of various Environmental, Social and Governance (“ESG”) metrics and their ability to forecast returns. We enhanced our models with the following ESG-related factor: Within the Quality theme, we introduced an environmental impact factor, which measures the amount of environmental resources consumed to produce a unit of output for more than 2,000 companies. This factor helps us to strategically tilt towards companies with favorable environmental profiles.
Furthermore, during the Reporting Period, we enhanced certain investment themes specific to our country/currency selection model. Specifically, we enhanced our Valuation theme with the addition of a residual income model-based valuation metric. We favor markets that generate higher earnings and are growing faster; we consider growth more valuable in markets with higher valuations. We also enhanced our Risk Premium theme by incorporating the change in forecasted earnings to price. We favor markets where forecasted earnings to price is increasing, as we consider this a proxy for higher distress risk (i.e., cheaper valuations) with positive premia.
2
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
3
Changes to the International Equity Insights Funds’ Portfolio Management Team
On February 5, 2016, Ron Hua, Chief Investment Officer of Equity Alpha Strategies for the Quantitative Investment Strategies (“QIS”) Team, announced his intention to retire from Goldman Sachs Asset Management, L.P. (“GSAM”). As such, effective that date, Mr. Hua no longer had portfolio management responsibilities for the International Equity Insights Funds (the “Funds”). Effective February 5, 2016, Armen Avanessians assumed the responsibilities as Chief Investment Officer of GSAM’s Equity Alpha Team, overseeing research, portfolio management and implementation for all of the Funds. As always, the Quantitative Investment Strategies platform is organized into a series of specialist portfolio management teams that focus on generating and implementing investment ideas within their area of expertise. Investment decisions are made by these portfolio management teams, rather than by one portfolio manager or committee. Ultimate accountability for each of the Funds resides with the senior portfolio managers dedicated to each Team strategy, who oversee their respective research, portfolio management and implementation processes.
MARKET REVIEW
Goldman Sachs International Equity
Insights Funds
Market Review
During the 12-month period ended October 31, 2016 (the “Reporting Period”), emerging market equities recorded a gain, significantly outpacing international developed market equities, which posted a decline.
Emerging Markets Equities
Emerging market equities advanced during the Reporting Period. The MSCI® Emerging Markets Standard Index (Net, USD, Unhedged) (the “MSCI® EM Index”) generated a return of 9.24%.*
In November, 2015, as the Reporting Period began, there was broad emerging market “risk off” sentiment based on a combination of Federal Reserve (“Fed”) interest rate hike concerns and disappointing macroeconomic data and negative news flow from China. When the Fed finally raised U.S. interest rates by 25 basis points in December 2015, the fairly dovish language in its statement, which emphasized “gradual” future adjustments to policy, helped to somewhat assuage market sentiment. (A basis point is 1/100th of a percentage point. Dovish language tends to suggest lower interest rates; opposite of hawkish.)
Emerging market equities suffered a rout at the beginning of 2016, triggered by investor concerns of an intensifying economic slowdown in China and exacerbated by an oil price plunge. Market sentiment improved in February 2016, and emerging market equities stabilized as global central banks set a more accommodative tone. For example, the Bank of Japan (“BoJ”) introduced negative interest rates in late January 2016 and the People’s Bank of China eased, while the Fed released dovish remarks in February 2016. In March 2016, further central bank dovishness, along with receding global economic concerns and a commodity price rebound, helped to drive a strong recovery in emerging market equities. Notably, the European Central Bank (“ECB”) implemented heavy easing, cutting its deposit rate to -40 basis points and raising its monthly quantitative easing purchases. The BoJ left its monetary policy unchanged in March 2016, but its rhetoric about negative interest rates heightened expectations for further easing to come.
Market sentiment appeared to remain sanguine in April 2016, as oil prices rose and China economic growth concerns abated with modestly improving economic data. The Fed left rates unchanged but expressed less concern about market volatility and global economic growth, opening up the possibility of a June 2016 rate hike. However, global sentiment moderated near the end of April 2016, as the BoJ disappointed markets by not implementing additional monetary stimulus. Emerging market equities declined in May 2016, as they were affected by hawkish Fed minutes that resulted in U.S. dollar strength against emerging market currencies. Moreover, disappointing April 2016 economic data from China, which indicated a slowdown in both consumption and industrial activity, fueled investor concerns of an economic slowdown within the emerging markets more broadly. Markets around the world were dominated in June 2016 by the U.K.’s referendum decision to leave the European Union, popularly known as “Brexit”. Emerging market equities shrugged off the initial risk-off response and rebounded quickly, outperforming developed market equities.
In July 2016, emerging market equities were buoyed by rebounding risk appetite and expectations of easier monetary policy following Brexit. Moreover, China’s economic data
| *All | index returns are expressed in U.S. dollar terms. |
4
MARKET REVIEW
indicated improving momentum. Emerging market equities continued their ascent in August 2016, as China performed better than consensus expectations on a robust earnings season and on encouraging consumption and industrial data. While investor concerns about an impending U.S. interest rate hike intensified after a strong July 2016 U.S. jobs report and Fed Chair Yellen’s hawkish speech at Jackson Hole, there was limited impact on sentiment toward emerging market equities, which rallied further. In September 2016, emerging market equities maintained their uptrend, as the Fed left interest rates unchanged amidst much anticipation, citing concerns over low inflation. In October 2016, despite the headwinds from a stronger U.S. dollar that resulted from hawkish Fed commentary and strong U.S. economic data, emerging market equities outperformed their developed market counterparts, led by Latin America.
Energy, materials and information technology were the best performing sectors in the MSCI® EM Index during the Reporting Period. Health care, industrials and telecommunication services were the weakest sectors in the MSCI® EM Index, the only three sectors in the MSCI® EM Index to post negative returns during the Reporting Period.
From a country perspective, Brazil, Hungary, Indonesia and Peru were by a wide margin the best performing individual country constituents of the MSCI® EM Index for the Reporting Period. Conversely, Greece was by far the weakest individual country constituent of the MSCI® EM Index, followed at some distance by Poland, Qatar, Turkey, the Czech Republic and Mexico, which also significantly lagged the MSCI® EM Index during the Reporting Period.
International Equities
International equities lost ground during the Reporting Period. The MSCI® Europe, Australasia, Far East (“EAFE”) Standard Index (Net, USD, Unhedged) (the “MSCI® EAFE Index”) posted a return of -3.22%.*
As the Reporting Period began in November 2015, divergent monetary policy between international developed market central banks and an increasingly hawkish Fed was a key theme. When the Fed hiked interest rates by 25 basis points in December 2015, the fairly dovish language in the statement, which emphasized “gradual” future adjustments to policy, helped to somewhat assuage market sentiment. (A basis point is 1/100th of a percentage point.) Meanwhile, the BoJ announced supplementary support for its quantitative and qualitative easing programs in the same month. While the ECB also lowered its deposit rate by 10 basis points and announced an extension of its quantitative easing program at its December 2015 meeting, market reaction was one of disappointment as more had been expected.
International equities suffered a rout at the beginning of 2016, triggered by investor concerns of an intensifying economic slowdown in China and exacerbated by an oil price plunge. Sentiment improved following a dovish January ECB press conference and the BoJ’s introduction of negative interest rates. In turn, international equities stabilized a bit in February 2016. However, the MSCI® EAFE Index still fell 1.83% in February 2016. In March 2016, further central bank dovishness, along with receding global economic concerns and oil price stabilization, helped to finally drive a global equity market recovery. Notably, the ECB implemented heavy easing, cutting its deposit rate to -40 basis points, raising its monthly quantitative easing purchases, including corporate bonds, and unveiling a new series of
| *All | index returns are expressed in U.S. dollar terms. |
5
MARKET REVIEW
four-year loans to banks. The BoJ left its monetary policy unchanged in March 2016, but its rhetoric about negative interest rates heightened expectations for further easing to come.
Market sentiment appeared to remain sanguine in April 2016, as oil prices rose and China economic growth concerns abated with modestly improving economic data. Both the ECB and BoJ were on hold in April 2016, not making any changes to their monetary policies. BoJ inaction came as a major disappointment against expectations of further easing, causing international equities to sell off once again and the yen to appreciate. Relative currency appreciation was exacerbated by U.S. dollar weakness following a weaker than expected first quarter U.S. Gross Domestic Product (“GDP”) release and an uneventful Fed meeting during which rates were left unchanged. In May 2016, disappointing payroll data drove expectations for a Fed hike in June 2016 temporarily lower, but subsequent hawkish Fed minutes revived the market-implied probability. Equities rallied toward month-end on anticipation of better economic data, rising oil prices and optimism that the economy could withstand interest rate hikes. Japanese equities also benefited from stronger than expected first quarter GDP growth and a weaker yen. Markets were dominated in June 2016 by the U.K. referendum on whether to leave the European Union. International equities declined in the global sell-off in late June 2016 following the surprise “leave” result, popularly known as “Brexit”. Markets later rebounded, owing to improving risk appetite, as markets digested the outcome and on dovish remarks from Bank of England (“BoE”) Governor Carney. However, the MSCI® EAFE Index still declined 3.36% in June 2016.
International equities rallied strongly in July 2016, buoyed by expectations of easier monetary policy and a rebound in risk appetite, despite the increased uncertainty post Brexit. Sentiment was propped up as BoE Governor Carney hinted at monetary easing during the summer. In August 2016, the BoE delivered, cutting U.K. policy rates by 25 basis points and introducing a significant extension to its quantitative easing program. However, investor concerns about the impending U.S. interest rate hike intensified following a strong July 2016 U.S. jobs report and Fed Chair Yellen’s hawkish Jackson Hole speech. In September 2016, equities fell on the ECB’s lack of commitment to extending monetary easing beyond March 2017. However, there was a subsequent rebound following Fed and BoJ decisions, which markets viewed as generally benign — the Fed left rates unchanged, while the BoJ introduced a 0% target for its 10-year government bond yield to exercise “yield curve control.” (Yield curve indicates the spectrum of maturities within a particular sector.)
In October 2016, ECB minutes stressed a commitment to continued monthly bond-buying of 80 billion euros at least through March 2017, helping to dispel earlier concerns about potential tapering. The U.K.’s first official GDP growth figures since the Brexit vote was more robust than the consensus expected at 0.5%. Japanese equities enjoyed strong performance owing to weakness of the Japanese yen, as BoJ governor Kuroda stated there was room for further easing if necessary to achieve the 2% inflation target.
During the Reporting Period, materials, industrials, energy, information technology and real estate were the only sectors in the MSCI® EAFE Index to post a positive return. The weakest performing sectors in the MSCI® EAFE Index during the Reporting Period were health care, financials and consumer discretionary.
From a country perspective, Australia and Japan were the only constituents of the MSCI® EAFE Index to post a positive return during the Reporting Period. Italy was the weakest individual country constituent in the MSCI® EAFE Index during the Reporting Period, followed at some distance by the U.K., Ireland and Spain.
6
MARKET REVIEW
Looking Ahead
At the end of the Reporting Period, we continued to believe that less expensive stocks should outpace more expensive stocks. In addition, we expected stocks with good momentum to outperform those with poor momentum. We plan to focus on seeking companies about which fundamental research analysts are becoming more positive as well as profitable companies with what we view as sustainable earnings and a track record of using their capital to enhance shareholder value. As such, we anticipate remaining fully invested, with long-term performance likely to be the result of stock selection rather than sector or capitalization allocations.
We stand behind our investment philosophy that sound economic investment principles, coupled with a disciplined quantitative approach, can provide strong, uncorrelated returns over the long term. Our research agenda is robust, and we continue to enhance our existing models, add new proprietary forecasting signals and improve our trading execution as we seek to provide the most value to our shareholders.
7
PORTFOLIO RESULTS
Goldman Sachs Emerging Markets Equity
Insights Fund
Investment Objective
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Emerging Markets Equity Insights Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2016 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional, IR, R and R6 Shares generated average annual total returns, without sales charges, of 8.79%, 7.97%, 9.35%, 9.13%, 8.57% and 9.27%, respectively. These returns compare to the 9.24% average annual total return of the Fund’s benchmark, the MSCI® Emerging Markets Standard Index (Net, USD, Unhedged) (the “Index”), during the same period. |
| Q | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | We use two distinct strategies — a bottom-up stock selection strategy and a top-down country/currency selection strategy — to manage the Fund. These strategies are uncorrelated, that is, they tend to perform independently of each other over time, which enables us to greater diversify the portfolio. During the Reporting Period, the Fund benefited from our stock selection strategy, which uses fundamental research and stock selection models based on six investment themes. However, the Fund underperformed the Index in certain share classes, largely due to the underperformance of our Management theme. Our country/currency selection strategy contributed positively. |
| Q | Which investment themes helped and which hurt within the Team’s stock selection strategy? |
| A | In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of our model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of our theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit. |
| During the Reporting Period, four of our six investment themes added to the Fund’s relative returns. Sentiment and Momentum were our best performing themes. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. Valuation and Quality also added to relative results. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. The Quality theme seeks to assess both firm and management quality. |
| Our Management theme, which assesses the characteristics, policies and strategic decisions of company management, detracted from relative results during the Reporting Period. |
| The impact of our Profitability theme on relative performance was rather neutral during the Reporting Period. The Profitability theme assesses whether a company is earning more than its cost of capital. |
8
PORTFOLIO RESULTS
| Q | How did the Fund’s sector and industry allocations affect relative results? |
| A | In constructing the portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund is similar to the Index in terms of its sector and industry allocations and its style. Changes in its sector or industry weights generally do not have a meaningful impact on relative returns. |
| Q | Did stock selection help or hurt Fund performance during the Reporting Period? |
| A | We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the benchmark. |
| During the Reporting Period, our stock selection helped the Fund’s relative performance. Investments in the information technology, energy and telecommunication services sectors contributed positively. Stock picks in the consumer discretionary, consumer staples and health care sectors detracted from results. |
| Q | Which stock positions contributed most to the Fund’s relative returns during the Reporting Period? |
| A | The Fund benefited from overweight positions in BM&F Bovespa, Cosan SA Industria e Comericio and Taiwan Semiconductor Manufacturing. We chose to overweight BM&F Bovespa, a Brazil-based stock exchange, due to our positive views on Momentum and Management. The overweight in Cosan SA Industria e Comericio, a Brazil-based oil marketing company, was the result of our positive views on Momentum. The Fund was overweight Taiwan Semiconductor Manufacturing based on our positive views on Momentum and Sentiment. |
| Q | Which Fund positions detracted most from results during the Reporting Period? |
| A | During the Reporting Period, the Fund was hampered by its overweight positions in Taiwan-based Fubon Financial Holding and Brazil-based meat processing company JBS. An underweight in Brazilian petroleum company Petroleo Brasileiro (“Petrobras) also detracted from relative performance. We adopted the overweight in Fubon Financial Holding because of our positive views on Momentum and Management, while the overweight in JBS was due to our positive views on Valuation and Management. Our negative views of Profitability and Valuation led us to underweight Petrobras. |
| Q | What impact did the Team’s country/currency selection strategy have on the Fund’s relative performance during the Reporting Period? |
| A | Our country/currency strategy enhanced the Fund’s relative performance during the Reporting Period. Overweight positions in Hungary and Brazil as well as a neutral position relative to the Index in South Africa contributed positively. The Fund was hurt by overweight positions in Turkey and Poland and an underweight position in Taiwan. |
| We made our picks using our proprietary models, which, during the Reporting Period, were based on three investment themes specific to our country/currency strategy — Valuation, Risk Premium and Macro. Valuation favors equity and currency markets that appear cheap relative to accounting measures of value and purchasing power. Risk Premium evaluates whether a country is overcompensating investors for various types of risk. Macro assesses a market’s macroeconomic environment and growth prospects. |
| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | During the Reporting Period, the Fund did not use derivatives or similar instruments as part of its investment process. |
| Q | What changes did you make to the Fund’s country weightings during the Reporting Period? |
| A | During the Reporting Period, we shifted the Fund from neutral positions to overweight positions relative to the Index in Thailand and South Korea. We also moved within the Fund from a neutral to an underweight position in India and from an overweight to a neutral position in Taiwan. We reduced the size of the Fund’s underweight position compared to the Index in Indonesia and the size of its overweight position in Brazil during the Reporting Period. |
| Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | As of February 5, 2016, Ron Hua no longer served as a portfolio manager for the Fund. By design, all investment decisions for the Fund are performed within a co-lead or team structure, with multiple subject matter experts. This strategic decision making has been the cornerstone of our |
9
PORTFOLIO RESULTS
approach and ensures continuity in the Fund. The portfolio managers for the Fund are William Fallon, Len Ioffe, Osman Ali, James Park and Dennis Walsh. |
| Q | What were the Fund’s sector and country weightings at the end of the Reporting Period? |
| A | At the end of the Reporting Period, the Fund was overweight relative to the Index in the materials, energy, information technology and real estate sectors. (Effective after the market close on August 31, 2016, real estate was reclassified as an eleventh sector within the Global Industry Classification Standard (“GICS”).) Compared to the Index, the Fund was underweight the consumer staples, telecommunication services, utilities, industrials and health care sectors. The Fund was relatively neutral compared to the Index in the financials and consumer discretionary sectors at the end of the Reporting Period. |
| In terms of countries, the Fund was overweight China, Russia, Thailand, Brazil, South Korea and Turkey relative to the Index at the end of the Reporting Period. Compared to the Index, the Fund was underweight India, South Africa, Malaysia, Indonesia and Chile. The Fund was relatively neutral compared to the Index in Mexico, Czech Republic, Hungary, Egypt, Greece, Peru, Colombia, United Arab Emirates, Qatar, Poland, Philippines and Taiwan at the end of the Reporting Period. |
10
FUND BASICS
Emerging Markets Equity Insights Fund
as of October 31, 2016
| PERFORMANCE REVIEW | ||||||||||
| November 1, 2015–October 31, 2016 | Fund Total Return (based on NAV)1 | MSCI® Emerging Markets Standard Index2 | ||||||||
| Class A | 8.79 | % | 9.24 | % | ||||||
| Class C | 7.97 | 9.24 | ||||||||
| Institutional | 9.35 | 9.24 | ||||||||
| Class IR | 9.13 | 9.24 | ||||||||
| Class R | 8.57 | 9.24 | ||||||||
| Class R6 | 9.27 | 9.24 | ||||||||
| 1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The MSCI® Emerging Markets Standard Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. As of September 30, 2016, the MSCI® Emerging Markets Standard Index consists of the following 23 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
| STANDARDIZED TOTAL RETURNS3 | ||||||||||||||||
| For the period ended 9/30/16 | One Year | Five Years | Since Inception | Inception Date | ||||||||||||
| Class A | 8.22 | % | 3.93 | % | -1.20 | % | 10/5/07 | |||||||||
| Class C | 12.84 | 4.34 | -1.26 | 10/5/07 | ||||||||||||
| Institutional | 15.11 | 5.54 | -0.17 | 10/5/07 | ||||||||||||
| Class IR | 14.87 | 5.40 | 3.46 | 8/31/10 | ||||||||||||
| Class R | 14.32 | N/A | 2.35 | 2/28/14 | ||||||||||||
| Class R6 | 15.15 | N/A | 2.90 | 7/31/15 | ||||||||||||
| 3 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
11
FUND BASICS
| EXPENSE RATIOS4 | ||||||||||
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Class A | 1.55 | % | 1.67 | % | ||||||
| Class C | 2.30 | 2.42 | ||||||||
| Institutional | 1.15 | 1.27 | ||||||||
| Class IR | 1.30 | 1.42 | ||||||||
| Class R | 1.80 | 1.93 | ||||||||
| Class R6 | 1.14 | 1.28 | ||||||||
| 4 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least February 26, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
| TOP TEN HOLDINGS AS OF 10/31/165 | ||||||||||
| Holding | % of Total Net Assets | Line of Business | Country | |||||||
| Tencent Holdings Ltd. | 4.7 | % | Software & Services | China | ||||||
| Samsung Electronics Co. Ltd. | 4.7 | Technology Hardware & Equipment | South Korea | |||||||
| Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 4.5 | Semiconductors & Semiconductor Equipment | Taiwan | |||||||
| Vanguard FTSE Emerging Markets Fund | 3.3 | Exchange Traded Fund | United States | |||||||
| China Construction Bank Corp. Class H | 3.0 | Banks | China | |||||||
| Alibaba Group Holding Ltd. ADR | 2.6 | Software & Services | China | |||||||
| Industrial & Commercial Bank of China Ltd. Class H | 2.6 | Banks | China | |||||||
| Sberbank of Russia PJSC | 2.5 | Banks | Russia | |||||||
| POSCO | 1.8 | Materials | South Korea | |||||||
| Agricultural Bank of China Ltd. Class H | 1.8 | Banks | China | |||||||
| 5 | The top 10 holdings may not be representative of the Fund’s future investments. |
12
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of October 31, 2016 |
| 6 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Underlying sector allocations of Exchange Traded Funds and Investment Companies held by the Fund are not reflected in the graph above. Investments in the securities lending reinvestment vehicle represented 1.4% of the Fund’s net assets at October 31, 2016. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
13
GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND
Performance Summary
October 31, 2016
The following graph shows the value, as of October 31, 2016, of a $1,000,000 investment made on October 5, 2007 (commencement of operations) in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the MSCI® Emerging Markets Index (the “MSCI® EM Index”), is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations may cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class A, Class C, Class IR, Class R and Class R6 Shares will vary from Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting the Fund.
| Emerging Markets Equity Insights Fund’s Lifetime Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from October 5, 2007 through October 31, 2016.
| Average Annual Total Return through October 31, 2016 | One Year | Five Years | Since Inception | |||||||
Class A (Commenced October 5, 2007) | ||||||||||
Excluding sales charges | 8.79% | 2.49% | -0.61% | |||||||
Including sales charges | 2.83% | 1.34% | -1.22% | |||||||
|
|
|
|
|
| |||||
Class C (Commenced October 5, 2007) | ||||||||||
Excluding contingent deferred sales charges | 7.97% | 1.70% | -1.30% | |||||||
Including contingent deferred sales charges | 6.97% | 1.70% | -1.30% | |||||||
|
|
|
|
|
| |||||
Institutional (Commenced October 5, 2007) | 9.35% | 2.88% | -0.21% | |||||||
|
|
|
|
|
| |||||
Class IR (Commenced August 31, 2010) | 9.13% | 2.74% | 3.35% | |||||||
|
|
|
|
|
| |||||
Class R (Commenced February 28, 2014) | 8.57% | N/A | 2.10% | |||||||
|
|
|
|
|
| |||||
Class R6 (Commenced July 31, 2015) | 9.27% | N/A | 2.32% | |||||||
|
|
|
|
|
|
14
PORTFOLIO RESULTS
Goldman Sachs International Equity Insights Fund
Investment Objective
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs International Equity Insights Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2016 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional, Service, IR, R and R6 Shares generated average annual total returns, without sales charges, of 0.97%, 0.22%, 1.34%, 0.87%, 1.22%, 0.67% and 1.37%, respectively. These returns compare to the -3.22% average annual total return of the Fund’s benchmark, the MSCI® EAFE Standard Index (Net, USD, Unhedged) (the “Index”), during the same period. |
| Q | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | We use two distinct strategies — a bottom-up stock selection strategy and a top-down country/currency selection strategy — to manage the Fund. These strategies are uncorrelated, that is, they tend to perform independently of each other over time, which enables us to greater diversify the portfolio. Our bottom-up stock selection strategy, which uses fundamental research and stock selection models based on six investment themes, added to relative performance during the Reporting Period. Our country/currency selection strategy also contributed positively. |
| Q | Which investment themes helped and which hurt within the Team’s stock selection strategy? |
| A | In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of our model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of our theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit. |
| During the Reporting Period, four of our six investment themes contributed positively to the Fund’s relative performance. Our best performing theme was Momentum. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. Sentiment, Valuation and Quality also enhanced results. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. The Quality theme seeks to assess both firm and management quality. |
| Our Management theme, which assesses the characteristics, policies and strategic decisions of company management, detracted from relative results during the Reporting Period. |
| The impact of our Profitability theme on relative performance was rather neutral during the Reporting Period. The Profitability theme assesses whether a company is earning more than its cost of capital. |
| Q | How did the Fund’s sector and industry allocations affect relative results? |
| A | In constructing the portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, |
15
PORTFOLIO RESULTS
the Fund is similar to the Index in terms of its sector and industry allocations and its style. Changes in its sector or industry weights generally do not have a meaningful impact on relative returns. |
| Q | Did stock selection help or hurt Fund performance during the Reporting Period? |
| A | We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the benchmark. |
| During the Reporting Period, security selection bolstered the Fund’s relative returns. Stock picks in the health care, financials and materials sectors added to relative performance. Holdings in the consumer discretionary, industrials and energy sectors detracted from results. |
| Q | Which stock positions contributed most to the Fund’s relative returns during the Reporting Period? |
| A | The Fund benefited from overweight positions in Treasury Wine Estates, an Australia-based winemaking and distribution business, and Boliden, a Swedish mining and smelting company that focuses on copper. Our positive views on Momentum and Sentiment led us to overweight Treasury Wine Estates, while the overweight in Boliden was due to our positive views on Sentiment and Quality. An underweight in Denmark-based pharmaceutical company Novo Nordisk also added to relative performance. The Fund was underweight Novo Nordisk because of our negative views on Momentum. |
| Q | Which Fund positions detracted most from results during the Reporting Period? |
| A | During the Reporting Period, the Fund was hampered by overweight positions in Japan-based companies Ono Pharmaceutical and Mitsubishi UFJ Financial Group as well as by its underweight in Adidas, a German sports shoes and clothing manufacturer. We adopted the overweight in Ono Pharmaceuticals due to our positive views on Momentum and Sentiment. Our positive views on Valuation and Momentum led to the Fund’s overweight in Mitsubishi UFJ Financial Group. We chose to underweight Adidas as a result of our negative views on Valuation and Management. |
| Q | What impact did the Team’s country/currency selection strategy have on the Fund’s relative performance during the Reporting Period? |
| A | Our country/currency selection strategy enhanced Fund returns during the Reporting Period. An overweight position in Switzerland and underweight positions in Italy and Norway added most to relative returns. The Fund was hurt by an underweight position in Japan as well as by overweights in the Netherlands and Sweden. |
| We made our picks using our proprietary models, which, during the Reporting Period, were based on five investment themes specific to our country/currency strategy — Valuation, Momentum, Risk Premium, Fund Flows and Macro. Valuation favors equity and currency markets that appear cheap relative to accounting measures of value and purchasing power. Momentum favors countries and currencies that have had strong recent outperformance. Risk Premium evaluates whether a country is overcompensating investors for various types of risk, while Fund Flows evaluates the strength of capital market inflows. Finally, Macro assesses a market’s macroeconomic environment and growth prospects. |
| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | During the Reporting Period, we used financial futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of financial futures contracts. The use of these derivatives did not have a material impact on Fund results during the Reporting Period. |
| Q | What changes did you make to the Fund’s country weightings during the Reporting Period? |
| A | During the Reporting Period, we increased the Fund’s overweight positions relative to the Index in Italy, Germany and the Netherlands. We reduced the Fund’s underweight position in Australia, the U.K. and Switzerland. In addition, we shifted the Fund from overweight positions in Japan, Sweden and Norway to underweight positions compared to the Index. |
16
PORTFOLIO RESULTS
| Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | Ron Hua and Denis Suvorov no longer served as portfolio managers for the Fund as of February 5, 2016 and June 2, 2016, respectively. By design, all investment decisions for the Fund are performed within a co-lead or team structure, with multiple subject matter experts. This strategic decision making has been the cornerstone of our approach and ensures continuity in the Fund. The portfolio managers for the Fund are William Fallon, Len Ioffe, Osman Ali, James Park and Takashi Suwabe. |
| Q | What were the Fund’s sector and country weightings at the end of the Reporting Period? |
| A | At the end of the Reporting Period, the Fund was overweight the information technology, materials and energy sectors relative to the Index. Compared to the Index, the Fund was underweight the consumer staples, financials, industrials, consumer discretionary and telecommunication services sectors. The Fund was relatively neutral compared to the Index in the health care, real estate and utilities sectors at the end of the Reporting Period. (Effective after the market close on August 31, 2016, real estate was reclassified as an eleventh sector within the Global Industry Classification Standard (“GICS”).) |
| In terms of countries, the Fund was overweight relative to the Index in the Netherlands, Germany and Italy. Compared to the Index, the Fund was underweight in Japan, Sweden, Switzerland and Australia. The Fund was relatively neutral compared to the Index in Portugal, Denmark, Hong Kong, France, Norway, New Zealand, Austria, Ireland, Israel, Finland, Singapore, the U.K., Spain and Belgium at the end of the Reporting Period. |
17
FUND BASICS
International Equity Insights Fund
as of October 31, 2016
| PERFORMANCE REVIEW | ||||||||||
| November 1, 2015–October 31, 2016 | Fund Total Return (based on NAV)1 | MSCI® EAFE Standard Index (Net, USD, Unhedged)2 | ||||||||
| Class A | 0.97 | % | -3.22 | % | ||||||
| Class C | 0.22 | -3.22 | ||||||||
| Institutional | 1.34 | -3.22 | ||||||||
| Service | 0.87 | -3.22 | ||||||||
| Class IR | 1.22 | -3.22 | ||||||||
| Class R | 0.67 | -3.22 | ||||||||
| Class R6 | 1.37 | -3.22 | ||||||||
| 1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The unmanaged MSCI® EAFE Standard Index (Net, USD, Unhedged) is a market capitalization-weighted composite of securities in 21 developed markets. As of September 30, 2016, the MSCI® EAFE Standard (Net) Index consists of the following 21 developed countries: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
| STANDARDIZED TOTAL RETURNS3 | ||||||||||||||||||||
| For the period ended 9/30/16 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
| Class A | 3.39 | % | 7.54 | % | 0.91 | % | 3.06 | % | 8/15/97 | |||||||||||
| Class C | 7.57 | 7.95 | 0.73 | 2.70 | 8/15/97 | |||||||||||||||
| Institutional | 9.82 | 9.18 | 1.90 | 3.88 | 8/15/97 | |||||||||||||||
| Service | 9.25 | 8.65 | 1.39 | 3.37 | 8/15/97 | |||||||||||||||
| Class IR | 9.63 | 9.03 | N/A | -0.48 | 11/30/07 | |||||||||||||||
| Class R | 9.07 | 8.49 | N/A | -0.95 | 11/30/07 | |||||||||||||||
| Class R6 | 9.76 | N/A | N/A | -0.83 | 7/31/15 | |||||||||||||||
| 3 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
18
FUND BASICS
| EXPENSE RATIOS4 | ||||||||||
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Class A | 1.27 | % | 1.37 | % | ||||||
| Class C | 2.01 | 2.12 | ||||||||
| Institutional | 0.87 | 0.97 | ||||||||
| Service | 1.37 | 1.47 | ||||||||
| Class IR | 1.01 | 1.13 | ||||||||
| Class R | 1.52 | 1.62 | ||||||||
| Class R6 | 0.84 | 0.93 | ||||||||
| 4 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least February 26, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
| TOP TEN HOLDINGS AS OF 10/31/165 | ||||||||||
| Holding | % of Total Net Assets | Line of Business | Country | |||||||
| ING Groep NV | 1.7 | % | Banks | Netherlands | ||||||
| Siemens AG (Registered) | 1.7 | Capital Goods | Germany | |||||||
| Bayer AG (Registered) | 1.6 | Pharmaceuticals, Biotechnology & Life Sciences | Germany | |||||||
| British American Tobacco plc | 1.6 | Food, Beverage & Tobacco | United Kingdom | |||||||
| BP plc ADR | 1.5 | Energy | United Kingdom | |||||||
| Roche Holding AG | 1.4 | Pharmaceuticals, Biotechnology & Life Sciences | Switzerland | |||||||
| GlaxoSmithKline plc ADR | 1.3 | Pharmaceuticals, Biotechnology & Life Sciences | United Kingdom | |||||||
| Reckitt Benckiser Group plc | 1.3 | Household & Personal Products | United Kingdom | |||||||
| BNP Paribas SA | 1.2 | Banks | France | |||||||
| Infineon Technologies AG | 1.2 | Semiconductors & Semiconductor Equipment | Germany | |||||||
| 5 | The top 10 holdings may not be representative of the Fund’s future investments. |
19
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of October 31, 2016 |
| 6 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Underlying sector allocations of Exchange Traded Funds and Investment Companies held by the Fund are not reflected in the graph above. Investments in the securities lending reinvestment vehicle represented 0.1% of the Fund’s net assets at October 31, 2016. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
20
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND
Performance Summary
October 31, 2016
The following graph shows the value, as of October 31, 2016, of a $1,000,000 investment made on November 1, 2006 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the MSCI® EAFE Standard Index (Net, USD, Unhedged), is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations may cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class A, Class C, Service, Class IR, Class R and Class R6 Shares will vary from Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting the Fund.
| International Equity Insights Fund’s 10 Year Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from November 1, 2006 through October 31, 2016.
| Average Annual Total Return through October 31, 2016 | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A (Commenced August 15, 1997) | ||||||||||||||
Excluding sales charges | 0.97% | 6.51% | 1.06% | 3.28% | ||||||||||
Including sales charges | -4.53% | 5.32% | 0.49% | 2.97% | ||||||||||
| ||||||||||||||
Class C (Commenced August 15, 1997) | ||||||||||||||
Excluding contingent deferred sales charges | 0.22% | 5.71% | 0.32% | 2.61% | ||||||||||
Including contingent deferred sales charges | -0.78% | 5.71% | 0.32% | 2.61% | ||||||||||
| ||||||||||||||
Institutional (Commenced August 15, 1997) | 1.34% | 6.94% | 1.46% | 3.79% | ||||||||||
| ||||||||||||||
Service (Commenced August 15, 1997) | 0.87% | 6.40% | 0.97% | 3.28% | ||||||||||
| ||||||||||||||
Class IR (Commenced November 30, 2007) | 1.22% | 6.76% | N/A | -0.64% | ||||||||||
| ||||||||||||||
Class R (Commenced November 30, 2007) | 0.67% | 6.25% | N/A | -1.10% | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | 1.37% | N/A | N/A | -1.78% | ||||||||||
| ||||||||||||||
21
PORTFOLIO RESULTS
Goldman Sachs International Small Cap
Insights Fund
Investment Objective
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs International Small Cap Insights Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2016 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional, IR and R6 Shares generated average annual total returns, without sales charges, of 4.17%, 3.27%, 4.50%, 4.33% and 4.72%, respectively. These returns compare to the 2.97% average annual total return of the Fund’s benchmark, the MSCI® EAFE Small Cap Index (Net, USD, Unhedged) (the “Index”), during the same period. |
| Q | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | During the Reporting Period, the Fund benefited from stock selection driven by our quantitative model, with five of our quantitative model’s six investment themes contributing positively to relative returns. |
| Q | What impact did the Fund’s investment themes have on performance during the Reporting Period? |
| A | In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of our model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of our theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit. |
| During the Reporting Period, five of our six investment themes contributed positively to the Fund’s relative performance. Our best performing theme was Momentum. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. Valuation, Sentiment, Quality and Profitability also enhanced results. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. The Quality theme seeks to assess both firm and management quality. The Profitability theme assesses whether a company is earning more than its cost of capital. |
| Our Management theme, which assesses the characteristics, policies and strategic decisions of company management, detracted from relative results during the Reporting Period. |
| Q | How did the Fund’s sector and industry allocations affect relative results? |
| A | In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund is similar to the Index in terms of its sector and industry allocations and style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance. |
| Q | Did stock selection help or hurt Fund performance during the Reporting Period? |
| A | We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the benchmark. |
22
PORTFOLIO RESULTS
| During the Reporting Period, security selection contributed positively. Investments in the materials, information technology and industrials sectors added to relative returns. Stock choices in the consumer discretionary, consumer staples and utilities sectors detracted from results. |
| Q | Which stock positions contributed most to the Fund’s relative results during the Reporting Period? |
| A | The Fund benefited from overweight positions in The Porr Group, an Austria-based construction company; JB Hi-Fi, an Australian home entertainment retailer; and DeNa, a Japan-based provider of mobile and online services. We chose to overweight The Porr Group based on our positive views of Momentum and Valuation. Our positive views on Momentum and Management led to the overweight in JB Hi-Fi, while we adopted the overweight in DeNa due to our positive views on Momentum and Quality. |
| Q | Which stock positions detracted most from the Fund’s relative returns during the Reporting Period? |
| A | Overweight positions in ASKUL, Regus and Great Portland Estates detracted from relative performance. The Fund was overweight Japan-based ASKUL, which sells office equipment products to medium and small sized business offices, because of our positive views on Sentiment and Quality. We assumed the overweight in Regus, a Belgium-based operator of business centers around the world, as a result of our positive views on Sentiment and Profitability. The overweight in Great Portland Estates, a U.K.-based British property development and investment company, was based on our positive views on Momentum and Quality. |
| Q | What impact did country selection have on the Fund’s relative performance during the Reporting Period? |
| A | To construct the portfolio, we focus on security selection rather than on making country bets. As a result, the Fund is similar to the Index in terms of its country allocation; changes in its country weightings are generally the result of our stock picking. That said, the Fund benefited during the Reporting Period from its overweight positions relative to the Index in Norway, the Netherlands and Switzerland. Underweight positions in Austria and Australia also added to results. Compared to the Index, the Fund was hampered by its overweight position in Japan and its underweight position in the U.K. Security selection contributed positively in Austria, Australia, Switzerland, the Netherlands and Norway, while stock selection in Japan and the U.K. had a negative impact on performance. |
| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | During the Reporting Period, we used financial futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of financial futures contracts. The use of these derivatives did not have a material impact on Fund results during the Reporting Period. |
| Q | What changes did you make to the Fund’s country weightings during the Reporting Period? |
| A | During the Reporting Period, we shifted within the Fund from underweight positions relative to the Index in Australia and Switzerland to overweight positions. We also moved the Fund from a neutral position in Norway to an overweight position. Additionally, we decreased the size of the Fund’s overweight position in Japan, increased the size of its underweight position in Sweden, and shifted from an overweight position in Spain to an underweight position. |
| Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | Ron Hua and Denis Suvorov no longer served as portfolio managers for the Fund as of February 5, 2016 and June 2, 2016, respectively. By design, all investment decisions for the Fund are performed within a co-lead or team structure, with multiple subject matter experts. This strategic decision making has been the cornerstone of our approach and ensures continuity in the Fund. The portfolio managers for the Fund continue to be Len Ioffe, Osman Ali and Takashi Suwabe. |
| Q | What were the Fund’s sector and country weightings at the end of the Reporting Period? |
| A | At the end of the Reporting Period, the Fund was overweight the materials, information technology, industrials and energy sectors relative to the Index. Compared to the Index, the Fund was underweight the real estate, utilities, financials, consumer staples and telecommunication services sectors. (Effective after the market close on August 31, 2016, real estate was reclassified as an eleventh sector within the Global Industry Classification Standard (“GICS”).) The Fund was relatively neutral compared to the Index in the health care and consumer discretionary sectors at the end of the Reporting Period. |
| In terms of countries, the Fund was overweight Norway, Australia, Belgium, Switzerland, the Netherlands and Germany relative to the Index. Compared to the Index, the Fund was underweight Sweden, Spain, the U.K. and Hong Kong. It was relatively neutral compared to the Index in Japan, Italy, Singapore, France, Portugal, Denmark, Austria, Finland, New Zealand, Israel and Ireland at the end of the Reporting Period. |
23
FUND BASICS
International Small Cap Insights Fund
as of October 31, 2016
| PERFORMANCE REVIEW | ||||||||||
| November 1, 2015–October 31, 2016 | Fund Total Return (based on NAV)1 | MSCI® EAFE Small Cap Index (Net, USD, Unhedged)2 | ||||||||
| Class A | 4.17 | % | 2.97 | % | ||||||
| Class C | 3.27 | 2.97 | ||||||||
| Institutional | 4.50 | 2.97 | ||||||||
| Class IR | 4.33 | 2.97 | ||||||||
| Class R6 | 4.72 | 2.97 | ||||||||
| 1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charge. |
| 2 | The MSCI® EAFE Small Cap Index (Net, USD, Unhedged) is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the U.S. and Canada. MSCI® selects the most liquid securities across developed markets relative to their market capitalization, and targets for index inclusion 40% of the full market capitalization of the eligible small cap universe within each industry group, within each country. Its returns include net reinvested dividends but, unlike Fund returns, do not reflect the payment of sales commissions or other expenses incurred in the purchase or sale of the securities included in the Index. It is not possible to invest directly in an index. |
| STANDARDIZED TOTAL RETURNS3 | ||||||||||||||||
| For the period ended 9/30/16 | One Year | Five Years | Since Inception | Inception Date | ||||||||||||
| Class A | 5.66 | % | 10.32 | % | 3.22 | % | 9/28/07 | |||||||||
| Class C | 9.83 | 10.73 | 3.12 | 9/28/07 | ||||||||||||
| Institutional | 12.23 | 12.03 | 4.29 | 9/28/07 | ||||||||||||
| Class IR | 11.97 | 11.86 | 11.25 | 8/31/10 | ||||||||||||
| Class R6 | 12.35 | N/A | 3.95 | 7/31/15 | ||||||||||||
| 3 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Class IR and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
24
FUND BASICS
| EXPENSE RATIOS4 | ||||||||||
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Class A | 1.30 | % | 1.39 | % | ||||||
| Class C | 2.05 | 2.14 | ||||||||
| Institutional | 0.90 | 0.99 | ||||||||
| Class IR | 1.05 | 1.14 | ||||||||
| Class R6 | 0.90 | 0.96 | ||||||||
| 4 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least February 26, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
| TOP TEN HOLDINGS AS OF 10/31/165 | ||||||||||
| Holding | % of Total Net Assets | Line of Business | Country | |||||||
| Georg Fischer AG (Registered) | 1.3 | % | Capital Goods | Switzerland | ||||||
| Subsea 7 SA | 1.1 | Energy | United Kingdom | |||||||
| JB Hi-Fi Ltd. | 1.1 | Retailing | Australia | |||||||
| Spirax-Sarco Engineering plc | 1.0 | Capital Goods | United Kingdom | |||||||
| John Wood Group plc | 1.0 | Energy | United Kingdom | |||||||
| BE Semiconductor Industries NV | 1.0 | Semiconductors & Semiconductor Equipment | Netherlands | |||||||
| Mineral Resources Ltd. | 1.0 | Materials | Australia | |||||||
| Nexans SA | 1.0 | Capital Goods | France | |||||||
| BlueScope Steel Ltd. | 1.0 | Materials | Australia | |||||||
| Kenedix Office Investment Corp. (REIT) | 1.0 | Real Estate | Japan | |||||||
| 5 | The top 10 holdings may not be representative of the Fund’s future investments. |
25
FUND BASICS
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of October 31, 2016 |
| 6 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Underlying sector allocations of Exchange Traded Funds and Investment Companies held by the Fund are not reflected in the graph above. Investments in the securities lending reinvestment vehicle represented 0.7% of the Fund’s net assets at October 31, 2016. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
26
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
Performance Summary
October 31, 2016
The following graph shows the value, as of October 31, 2016, of a $1,000,000 investment made on September 28, 2007 (commencement of operations) in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the MSCI® EAFE Small Cap Index (Net, USD, Unhedged), is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations may cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class A, Class C, Class IR and Class R6 Shares will vary from Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry/country investments election and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting the Fund.
| International Small Cap Insights Fund’s Lifetime Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from September 28, 2007 through October 31, 2016.
| Average Annual Total Return through October 31, 2016 | One Year | Five Years | Since Inception | |||||||
Class A (Commenced September 28, 2007) | ||||||||||
Excluding sales charges | 4.17% | 9.47% | 3.51% | |||||||
Including sales charges | -1.57% | 8.24% | 2.87% | |||||||
| ||||||||||
Class C (Commenced September 28, 2007) | ||||||||||
Excluding contingent deferred sales charges | 3.27% | 8.63% | 2.75% | |||||||
Including contingent deferred sales charges | 2.26% | 8.63% | 2.75% | |||||||
| ||||||||||
Institutional (Commenced September 28, 2007) | 4.50% | 9.90% | 3.92% | |||||||
| ||||||||||
Class IR (Commenced August 31, 2010) | 4.33% | 9.72% | 10.57% | |||||||
| ||||||||||
Class R6 (Commenced July 31, 2015) | 4.72% | N/A | 1.36% | |||||||
| ||||||||||
27
GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND
Schedule of Investments
October 31, 2016
Shares | Description | Value | ||||||
| Common Stocks – 93.6% | ||||||||
| Brazil – 7.7% | ||||||||
| 282,600 | Banco Bradesco SA (Banks) | $ | 2,809,179 | |||||
| 1,089,600 | Banco Bradesco SA ADR (Banks) | 11,342,736 | ||||||
| 474,100 | Banco Santander Brasil SA ADR (Banks)(a) | 3,878,138 | ||||||
| 1,997,400 | CCR SA (Transportation) | 10,856,795 | ||||||
| 337,500 | CETIP SA – Mercados Organizados (Diversified Financials) | 4,744,243 | ||||||
| 1,051,900 | Cosan SA Industria e Comercio (Energy) | 14,143,969 | ||||||
| 1,159,500 | Kroton Educacional SA (Consumer Services) | 5,775,705 | ||||||
| 414,200 | MRV Engenharia e Participacoes SA (Consumer Durables & Apparel) | 1,603,857 | ||||||
| 367,000 | Multiplus SA (Media) | 4,976,115 | ||||||
| 211,400 | Transmissora Alianca de Energia Eletrica SA (Utilities) | 1,374,233 | ||||||
| 406,200 | Ultrapar Participacoes SA (Energy) | 9,204,400 | ||||||
|
| |||||||
| 70,709,370 | ||||||||
|
| |||||||
| Chile – 0.0% | ||||||||
| 31,386 | Empresas Copec SA (Energy) | 315,378 | ||||||
|
| |||||||
| China – 27.8% | ||||||||
| 38,404,000 | Agricultural Bank of China Ltd. Class H (Banks) | 16,155,454 | ||||||
| 238,600 | Alibaba Group Holding Ltd. ADR (Software & Services)* | 24,263,234 | ||||||
| 900,000 | BAIC Motor Corp. Ltd. Class H (Automobiles & Components)(b) | 943,808 | ||||||
| 7,200 | Baidu, Inc. ADR (Software & Services)* | 1,273,392 | ||||||
| 2,385,000 | Bank of China Ltd. Class H (Banks) | 1,068,765 | ||||||
| 329,000 | Beijing Enterprises Holdings Ltd. (Capital Goods) | 1,644,288 | ||||||
| 16,780,000 | China CITIC Bank Corp. Ltd. Class H (Banks) | 10,821,949 | ||||||
| 38,314,000 | China Construction Bank Corp. Class H (Banks) | 27,978,683 | ||||||
| 2,780,500 | China Merchants Bank Co. Ltd. Class H (Banks) | 6,761,479 | ||||||
| 1,382,500 | China Mobile Ltd. (Telecommunication Services) | 15,838,465 | ||||||
| 6,832,000 | China Petroleum & Chemical Corp. Class H (Energy) | 4,940,910 | ||||||
| 2,352,000 | China Resources Beer Holdings Co. Ltd. (Food, Beverage & Tobacco)* | 4,998,160 | ||||||
| 2,202,000 | China Resources Land Ltd. (Real Estate) | 5,468,740 | ||||||
| 244,000 | China Shenhua Energy Co. Ltd. Class H (Energy) | 505,866 | ||||||
| 10,269,000 | Chongqing Rural Commercial Bank Co. Ltd. Class H (Banks) | 6,145,620 | ||||||
| 847,000 | CNOOC Ltd. (Energy) | 1,065,758 | ||||||
| 10,262,000 | Guangzhou Automobile Group Co. Ltd. Class H (Automobiles & Components) | 12,392,518 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| China – (continued) | ||||||||
| 6,697,600 | Guangzhou R&F Properties Co. Ltd. Class H (Real Estate) | $ | 9,439,161 | |||||
| 39,765,000 | Industrial & Commercial Bank of China Ltd. Class H (Banks) | 23,868,532 | ||||||
| 1,120,000 | Jiangsu Expressway Co. Ltd. Class H (Transportation) | 1,522,789 | ||||||
| 2,335,500 | Longfor Properties Co. Ltd. (Real Estate) | 3,099,865 | ||||||
| 56,900 | NetEase, Inc. ADR (Software & Services) | 14,622,731 | ||||||
| 67,500 | New Oriental Education & Technology Group, Inc. ADR (Consumer Services)* | 3,383,775 | ||||||
| 1,798,000 | Shenzhen Investment Ltd. (Real Estate) | 783,681 | ||||||
| 1,562,000 | Sinopec Engineering Group Co. Ltd. Class H (Capital Goods) | 1,379,012 | ||||||
| 3,102,000 | Sinopec Shanghai Petrochemical Co. Ltd. Class H (Materials) | 1,581,255 | ||||||
| 1,347,600 | Sinopharm Group Co. Ltd. Class H (Health Care Equipment & Services) | 6,543,950 | �� | |||||
| 1,624,500 | Tencent Holdings Ltd. (Software & Services) | 43,053,046 | ||||||
| 1,416,000 | Tianneng Power International Ltd. (Automobiles & Components) | 1,278,235 | ||||||
| 167,900 | Vipshop Holdings Ltd. ADR (Retailing)* | 2,295,193 | ||||||
|
| |||||||
| 255,118,314 | ||||||||
|
| |||||||
| Hong Kong – 1.4% | ||||||||
| 1,283,500 | Kingboard Chemical Holdings Ltd. (Technology Hardware & Equipment) | 3,794,093 | ||||||
| 396,000 | Kingboard Laminates Holdings Ltd. (Technology Hardware & Equipment) | 354,849 | ||||||
| 5,649,000 | WH Group Ltd. (Food, Beverage & Tobacco)(b) | 4,575,105 | ||||||
| 5,016,000 | Xinyi Glass Holdings Ltd. (Automobiles & Components)* | 4,312,943 | ||||||
|
| |||||||
| 13,036,990 | ||||||||
|
| |||||||
| Hungary – 0.1% | ||||||||
| 39,134 | OTP Bank plc (Banks) | 1,096,697 | ||||||
|
| |||||||
| India – 5.6% | ||||||||
| 64,423 | Bajaj Auto Ltd. (Automobiles & Components) | 2,733,275 | ||||||
| 58,196 | Bajaj Holdings & Investment Ltd. (Diversified Financials) | 1,929,639 | ||||||
| 1,521 | Eicher Motors Ltd. (Capital Goods) | 547,291 | ||||||
| 75,508 | Hero MotoCorp Ltd. (Automobiles & Components) | 3,790,002 | ||||||
| 1,176,480 | Hindustan Zinc Ltd. (Materials) | 4,458,332 | ||||||
| 61,997 | Housing Development Finance Corp. Ltd. (Banks) | 1,280,358 | ||||||
|
| |||||||
| 28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND
Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| India – (continued) | ||||||||
| 298,374 | Indraprastha Gas Ltd. (Utilities) | $ | 3,832,037 | |||||
| 525,526 | ITC Ltd. (Food, Beverage & Tobacco) | 1,902,858 | ||||||
| 1,103,265 | Oil & Natural Gas Corp. Ltd. (Energy) | 4,769,369 | ||||||
| 20,716 | Oracle Financial Services Software Ltd. (Software & Services) | 994,510 | ||||||
| 59,838 | Petronet LNG Ltd. (Energy) | 347,253 | ||||||
| 214,992 | Tata Motors Ltd. ADR (Automobiles & Components) | 8,472,835 | ||||||
| 198,371 | Tata Motors Ltd. Class A (Automobiles & Components) | 1,028,615 | ||||||
| 936,741 | Tata Steel Ltd. (Materials) | 5,690,631 | ||||||
| 89,909 | Torrent Pharmaceuticals Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 1,908,198 | ||||||
| 2,047,319 | Vedanta Ltd. (Materials) | 6,232,870 | ||||||
| 92,425 | Yes Bank Ltd. (Banks) | 1,754,680 | ||||||
|
| |||||||
| 51,672,753 | ||||||||
|
| |||||||
| Indonesia – 1.3% | ||||||||
| 102,300 | Gudang Garam Tbk. PT (Food, Beverage & Tobacco) | 532,269 | ||||||
| 28,974,900 | Telekomunikasi Indonesia Persero Tbk. PT (Telecommunication Services) | 9,355,237 | ||||||
| 518,400 | Unilever Indonesia Tbk. PT (Household & Personal Products) | 1,766,590 | ||||||
|
| |||||||
| 11,654,096 | ||||||||
|
| |||||||
| Luxembourg – 0.6% | ||||||||
| 234,200 | Ternium SA ADR (Materials) | 5,599,722 | ||||||
|
| |||||||
| Malaysia – 0.6% | ||||||||
| 810,000 | Genting Bhd. (Consumer Services) | 1,513,636 | ||||||
| 2,285,200 | IOI Corp. Bhd. (Food, Beverage & Tobacco) | 2,449,382 | ||||||
| 179,800 | MISC Bhd. (Transportation) | 322,311 | ||||||
| 282,200 | Public Bank Bhd. (Banks) | 1,335,993 | ||||||
|
| |||||||
| 5,621,322 | ||||||||
|
| |||||||
| Mexico – 3.4% | ||||||||
| 225,500 | Gentera SAB de CV (Diversified Financials) | 445,011 | ||||||
| 624,900 | Grupo Aeroportuario del Centro Norte SAB de CV (Transportation) | 3,635,800 | ||||||
| 325,100 | Grupo Aeroportuario del Pacifico SAB de CV Class B (Transportation) | 3,142,295 | ||||||
| 8,582 | Grupo Aeroportuario del Sureste SAB de CV ADR (Transportation)(a) | 1,364,538 | ||||||
| 5,983,300 | Grupo Mexico SAB de CVSeries B (Materials) | 14,742,198 | ||||||
| 1,260,000 | Kimberly-Clark de Mexico SAB de CV Class A (Household & Personal Products) | 2,717,189 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Mexico – (continued) | ||||||||
| 2,173,400 | Wal-Mart de Mexico SAB de CV (Food & Staples Retailing) | 4,598,395 | ||||||
|
| |||||||
| 30,645,426 | ||||||||
|
| |||||||
| Philippines – 0.5% | ||||||||
| 142,395 | GT Capital Holdings, Inc. (Diversified Financials) | 3,848,502 | ||||||
| 82,760 | Manila Electric Co. (Utilities) | 472,067 | ||||||
|
| |||||||
| 4,320,569 | ||||||||
|
| |||||||
| Poland – 0.4% | ||||||||
| 3,831 | Bank Zachodni WBK SA (Banks) | 309,549 | ||||||
| 167,586 | Polski Koncern Naftowy ORLEN SA (Energy) | 3,320,272 | ||||||
|
| |||||||
| 3,629,821 | ||||||||
|
| |||||||
| Qatar – 0.2% | ||||||||
| 233,953 | Barwa Real Estate Co. (Real Estate) | 2,049,295 | ||||||
|
| |||||||
| Russia – 6.8% | ||||||||
| 6,363 | Bashneft PJSC (Energy) | 333,620 | ||||||
| 89,535 | LUKOIL PJSC ADR (Energy) | 4,352,296 | ||||||
| 10,179,900 | Magnitogorsk Iron & Steel OJSC (Materials) | 5,114,911 | ||||||
| 697,150 | Moscow Exchange MICEX-RTS PJSC (Diversified Financials) | 1,284,166 | ||||||
| 2,931,250 | Rosneft PJSC GDR (Energy) | 15,940,624 | ||||||
| 9,800,990 | Sberbank of Russia PJSC (Banks) | 22,813,266 | ||||||
| 875,760 | Severstal PJSC GDR (Materials) | 12,349,345 | ||||||
|
| |||||||
| 62,188,228 | ||||||||
|
| |||||||
| South Africa – 4.7% | ||||||||
| 78,142 | Barclays Africa Group Ltd. (Banks) | 906,795 | ||||||
| 3,289,754 | FirstRand Ltd. (Diversified Financials) | 11,796,296 | ||||||
| 584,274 | Hyprop Investments Ltd. (REIT) | 5,184,230 | ||||||
| 147,619 | Nedbank Group Ltd. (Banks) | 2,416,379 | ||||||
| 294,321 | Pick n Pay Stores Ltd. (Food & Staples Retailing) | 1,442,054 | ||||||
| 1,563,696 | Sanlam Ltd. (Insurance) | 7,574,081 | ||||||
| 1,253,805 | Standard Bank Group Ltd. (Banks)(a) | 13,309,500 | ||||||
|
| |||||||
| 42,629,335 | ||||||||
|
| |||||||
| South Korea – 15.1% | ||||||||
| 6,926 | Dongbu Insurance Co. Ltd. (Insurance) | 429,644 | ||||||
| 14,851 | Halla Holdings Corp. (Automobiles & Components) | 878,486 | ||||||
| 288,372 | Hankook Tire Co. Ltd. (Automobiles & Components) | 13,847,939 | ||||||
| 11,409 | Hyosung Corp. (Materials) | 1,332,742 | ||||||
| 24,804 | Hyundai Development Co. –Engineering & Construction (Capital Goods) | 1,048,902 | ||||||
| 22,588 | Hyundai Mobis Co. Ltd. (Automobiles & Components) | 5,387,429 | ||||||
| 53,914 | KB Financial Group, Inc. (Banks) | 1,995,724 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND
Schedule of Investments (continued)
October 31, 2016
Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| South Korea – (continued) | ||||||||
| 64,597 | Korea Electric Power Corp. (Utilities) | $ | 2,794,509 | |||||
| 96,770 | LG Corp. (Capital Goods) | 5,174,891 | ||||||
| 141,827 | LG Electronics, Inc. (Consumer Durables & Apparel) | 5,912,389 | ||||||
| 2,217 | Lotte Chemical Corp. (Materials) | 557,027 | ||||||
| 17,413 | LS Corp. (Capital Goods) | 832,823 | ||||||
| 16,975 | NAVER Corp. (Software & Services) | 12,700,110 | ||||||
| 141,699 | Poongsan Corp. (Materials) | 4,305,802 | ||||||
| 78,972 | POSCO (Materials) | 16,431,904 | ||||||
| 30,006 | Samsung Electronics Co. Ltd. (Technology Hardware & Equipment) | 42,918,434 | ||||||
| 113,386 | SK Innovation Co. Ltd. (Energy) | 14,925,491 | ||||||
| 632,145 | Woori Bank (Banks) | 6,889,206 | ||||||
|
| |||||||
| 138,363,452 | ||||||||
|
| |||||||
| Taiwan – 11.0% | ||||||||
| 3,034,000 | AmTRAN Technology Co. Ltd. (Consumer Durables & Apparel) | 2,402,949 | ||||||
| 1,614,000 | Cheng Shin Rubber Industry Co. Ltd. (Automobiles & Components) | 3,283,795 | ||||||
| 128,000 | Elite Advanced Laser Corp. (Semiconductors & Semiconductor Equipment) | 465,389 | ||||||
| 263,000 | Everlight Electronics Co. Ltd. (Semiconductors & Semiconductor Equipment) | 396,686 | ||||||
| 172,000 | Formosa Chemicals & Fibre Corp. (Materials) | 510,669 | ||||||
| 1,141,000 | Getac Technology Corp. (Technology Hardware & Equipment) | 1,481,947 | ||||||
| 2,955,000 | Highwealth Construction Corp. (Real Estate) | 4,376,290 | ||||||
| 4,588,000 | King Yuan Electronics Co. Ltd. (Semiconductors & Semiconductor Equipment) | 4,035,549 | ||||||
| 359,000 | Kung Long Batteries Industrial Co. Ltd. (Capital Goods) | 1,680,483 | ||||||
| 4,022,978 | Lite-On Technology Corp. (Technology Hardware & Equipment) | 5,767,346 | ||||||
| 1,241,000 | Micro-Star International Co. Ltd. (Technology Hardware & Equipment) | 3,570,109 | ||||||
| 552,000 | Nien Hsing Textile Co. Ltd. (Consumer Durables & Apparel) | 413,093 | ||||||
| 1,990,000 | Powertech Technology, Inc. (Semiconductors & Semiconductor Equipment) | 5,677,879 | ||||||
| 3,054,000 | Realtek Semiconductor Corp. (Semiconductors & Semiconductor Equipment) | 10,344,276 | ||||||
| 686,000 | Sitronix Technology Corp. (Semiconductors & Semiconductor Equipment) | 2,538,458 | ||||||
| 120,000 | St. Shine Optical Co. Ltd. (Health Care Equipment & Services) | 2,521,934 | ||||||
| 985,000 | Systex Corp. (Software & Services) | 1,655,921 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Taiwan – (continued) | ||||||||
| 1,315,400 | Taiwan Semiconductor Manufacturing Co. Ltd. ADR (Semiconductors & Semiconductor Equipment) | 40,908,940 | ||||||
| 576,000 | Tong Yang Industry Co. Ltd. (Automobiles & Components) | 1,340,282 | ||||||
| 580,000 | Topco Scientific Co. Ltd. (Semiconductors & Semiconductor Equipment) | 1,487,516 | ||||||
| 552,000 | Tripod Technology Corp. (Technology Hardware & Equipment) | 1,306,758 | ||||||
| 795,000 | Uni-President Enterprises Corp. (Food, Beverage & Tobacco) | 1,535,978 | ||||||
| 1,096,162 | Win Semiconductors Corp. (Semiconductors & Semiconductor Equipment) | 3,044,218 | ||||||
|
| |||||||
| 100,746,465 | ||||||||
|
| |||||||
| Thailand – 4.1% | ||||||||
| 391,000 | Airports of Thailand PCL (Transportation) | 4,253,827 | ||||||
| 12,741,500 | Charoen Pokphand Foods PCL (Food, Beverage & Tobacco) | 11,458,798 | ||||||
| 1,496,300 | Kiatnakin Bank PCL (Banks) | 2,498,942 | ||||||
| 937,500 | PTT PCL (Energy) | 9,230,905 | ||||||
| 4,292,900 | Thai Oil PCL (Energy) | 8,576,181 | ||||||
| 1,648,400 | Thanachart Capital PCL (Banks) | 1,857,360 | ||||||
|
| |||||||
| 37,876,013 | ||||||||
|
| |||||||
| Turkey – 2.1% | ||||||||
| 512,547 | Akbank TAS (Banks) | 1,371,657 | ||||||
| 1,477,537 | Arcelik A/S (Consumer Durables & Apparel) | 9,761,607 | ||||||
| 168,880 | KOC Holding A/S (Capital Goods) | 704,411 | ||||||
| 4,452,553 | Petkim Petrokimya Holding A/S (Materials) | 6,049,920 | ||||||
| 60,383 | Turk Traktor ve Ziraat Makineleri A/S (Capital Goods) | 1,568,130 | ||||||
|
| |||||||
| 19,455,725 | ||||||||
|
| |||||||
| United Arab Emirates – 0.2% | ||||||||
| 3,560,135 | DAMAC Properties Dubai Co. PJSC (Real Estate) | 2,126,135 | ||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $766,553,247) | $ | 858,855,106 | ||||||
|
| |||||||
| 30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND
Shares | Description | Rate | Value | |||||||
| Preferred Stocks – 2.4% | ||||||||||
| Brazil – 2.2% | ||||||||||
| 188,900 | Banco do Estado do Rio Grande do Sul SA Class B (Banks) | 0.191 | % | $ | 804,837 | |||||
| 1,049,640 | Itau Unibanco Holding SA (Banks) | 0.015 | 12,627,248 | |||||||
| 2,141,400 | Itausa – Investimentos Itau SA (Banks) | 0.150 | 6,332,963 | |||||||
|
| |||||||||
| 19,765,048 | ||||||||||
| ||||||||||
| South Korea – 0.2% | ||||||||||
| 4,991 | LG Household & Health Care Ltd. (Household & Personal Products) | 5,550 | 2,073,887 | |||||||
| ||||||||||
| TOTAL PREFERRED STOCKS | ||||||||||
| (Cost $18,637,664) | $ | 21,838,935 | ||||||||
| ||||||||||
Shares | Description | Value | ||||||
| Exchange Traded Fund(a) – 3.3% | ||||||||
| United States – 3.3% | ||||||||
| 793,983 | Vanguard FTSE Emerging Markets Fund | $ | 29,972,858 | |||||
| (Cost $28,622,814) | ||||||||
|
| |||||||
| Shares | Distribution Rate | Value | ||||
| Investment Company(c)(d) – 0.0% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||
| 326 | 0.295% | $ | 326 | |||
| (Cost $326) | ||||||
| ||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE |
| |||||
| (Cost $813,814,051) | $ | 910,667,225 | ||||
| ||||||
| Securities Lending Reinvestment Vehicle(c)(d) – 1.4% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||
| 13,186,183 | 0.295% | $ | 13,186,183 | |||
| (Cost $13,186,183) | ||||||
| ||||||
| TOTAL INVESTMENTS – 100.7% | ||||||
| (Cost $827,000,234) | $ | 923,853,408 | ||||
| ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.7)% | (6,014,210 | ) | ||||
| ||||||
| NET ASSETS – 100.0% | $ | 917,839,198 | ||||
| ||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $5,518,913, which represents approximately 0.6% of net assets as of October 31, 2016. | |
(c) | Represents an affiliated issuer. | |
(d) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on October 31, 2016. | |
| ||
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
GDR | —Global Depositary Receipt | |
REIT | —Real Estate Investment Trust | |
| ||
| The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND
Schedule of Investments
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – 93.9% | ||||||||
| Australia – 6.0% | ||||||||
| 11,905 | ASX Ltd. (Diversified Financials) | $ | 425,856 | |||||
| 103,869 | BHP Billiton plc (Materials) | 1,561,885 | ||||||
| 688,619 | BlueScope Steel Ltd. (Materials) | 4,085,324 | ||||||
| 35,244 | Caltex Australia Ltd. (Energy) | 820,383 | ||||||
| 97,098 | Coca-Cola Amatil Ltd. (Food, Beverage & Tobacco) | 703,454 | ||||||
| 993,815 | Fortescue Metals Group Ltd. (Materials) | 4,170,674 | ||||||
| 948,297 | GPT Group (The) (REIT) | 3,352,589 | ||||||
| 84,448 | MACA Ltd. (Capital Goods) | 113,062 | ||||||
| 1,536,939 | Medibank Pvt Ltd. (Insurance) | 3,011,049 | ||||||
| 32,114 | Mineral Resources Ltd. (Materials) | 282,520 | ||||||
| 1,095,305 | OZ Minerals Ltd. (Materials) | 5,596,294 | ||||||
| 370,337 | Qantas Airways Ltd. (Transportation) | 860,599 | ||||||
| 27,022 | Reject Shop Ltd. (The) (Retailing) | 153,372 | ||||||
| 1,076,531 | Scentre Group (REIT) | 3,445,479 | ||||||
| 28,795 | Technology One Ltd. (Software & Services) | 122,971 | ||||||
| 592,753 | Treasury Wine Estates Ltd. (Food, Beverage & Tobacco) | 4,832,343 | ||||||
| 21,058 | Webjet Ltd. (Retailing) | 174,931 | ||||||
| 176,621 | Wesfarmers Ltd. (Food & Staples Retailing) | 5,499,793 | ||||||
| 242,857 | Whitehaven Coal Ltd. (Energy)* | 558,506 | ||||||
|
| |||||||
| 39,771,084 | ||||||||
|
| |||||||
| Austria – 0.0% | ||||||||
| 4,060 | Strabag SE (Capital Goods) | 136,266 | ||||||
|
| |||||||
| Belgium – 0.4% | ||||||||
| 2,809 | Bekaert SA (Materials) | 124,878 | ||||||
| 31,887 | bpost SA (Transportation) | 848,338 | ||||||
| 8,307 | Galapagos NV (Pharmaceuticals, Biotechnology & Life Sciences)* | 505,437 | ||||||
| 15,105 | KBC Group NV (Banks) | 920,816 | ||||||
|
| |||||||
| 2,399,469 | ||||||||
|
| |||||||
| Denmark – 2.1% | ||||||||
| 231,629 | Danske Bank A/S (Banks) | 7,145,529 | ||||||
| 3,529 | Dfds A/S (Transportation) | 170,515 | ||||||
| 7,258 | Genmab A/S (Pharmaceuticals, Biotechnology & Life Sciences)* | 1,195,205 | ||||||
| 1,492 | Royal Unibrew A/S (Food, Beverage & Tobacco) | 69,798 | ||||||
| 23,854 | Sydbank A/S (Banks) | 744,872 | ||||||
| 59,302 | Vestas Wind Systems A/S (Capital Goods) | 4,751,033 | ||||||
|
| |||||||
| 14,076,952 | ||||||||
|
| |||||||
| Finland – 0.3% | ||||||||
| 20,609 | Cramo OYJ (Capital Goods) | 540,136 | ||||||
| 212,905 | Outokumpu OYJ (Materials)* | 1,484,282 | ||||||
|
| |||||||
| 2,024,418 | ||||||||
|
| |||||||
| France – 9.4% | ||||||||
| 49,463 | Arkema SA (Materials) | 4,690,199 | ||||||
| 207,771 | AXA SA (Insurance) | 4,687,796 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| France – (continued) | ||||||||
| 141,444 | BNP Paribas SA (Banks) | $ | 8,201,386 | |||||
| 44,153 | Cie Generale des Etablissements Michelin Class B (Automobiles & Components) | 4,782,126 | ||||||
| 20,987 | Faurecia (Automobiles & Components) | 773,611 | ||||||
| 257,359 | Orange SA (Telecommunication Services) | 4,049,200 | ||||||
| 57,749 | Renault SA (Automobiles & Components) | 5,021,959 | ||||||
| 15,305 | Rexel SA (Capital Goods) | 212,269 | ||||||
| 79,744 | Schneider Electric SE (Capital Goods) | 5,362,793 | ||||||
| 2,051 | SEB SA (Consumer Durables & Apparel) | 301,857 | ||||||
| 150,757 | Societe Generale SA (Banks) | 5,880,655 | ||||||
| 74,523 | Technip SA (Energy) | 4,946,084 | ||||||
| 17,151 | Teleperformance (Commercial & Professional Services) | 1,812,134 | ||||||
| 14,109 | TOTAL SA (Energy) | 675,890 | ||||||
| 23,207 | Ubisoft Entertainment SA (Software & Services)* | 789,632 | ||||||
| 93,930 | Valeo SA (Automobiles & Components) | 5,420,218 | ||||||
| 71,862 | Vinci SA (Capital Goods) | 5,204,211 | ||||||
|
| |||||||
| 62,812,020 | ||||||||
|
| |||||||
| Germany – 10.6% | ||||||||
| 39,204 | adidas AG (Consumer Durables & Apparel) | 6,440,981 | ||||||
| 4,027 | AURELIUS Equity Opportunities SE & Co. KGaA (Diversified Financials) | 240,441 | ||||||
| 108,030 | Bayer AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 10,726,265 | ||||||
| 3,705 | Bechtle AG (Software & Services) | 389,658 | ||||||
| 28,002 | Continental AG (Automobiles & Components) | 5,378,934 | ||||||
| 306,466 | Deutsche Telekom AG (Registered) (Telecommunication Services) | 5,000,062 | ||||||
| 56,219 | Evotec AG (Pharmaceuticals, Biotechnology & Life Sciences)* | 308,289 | ||||||
| 24,753 | Fresenius SE & Co. KGaA (Health Care Equipment & Services) | 1,828,930 | ||||||
| 39,528 | Gerresheimer AG (Pharmaceuticals, Biotechnology & Life Sciences) | 2,981,597 | ||||||
| 7,451 | H&R GmbH & Co. KGaA (Materials)* | 137,942 | ||||||
| 21,455 | Hannover Rueck SE (Insurance) | 2,393,548 | ||||||
| 31,682 | Hochtief AG (Capital Goods) | 4,326,080 | ||||||
| 453,509 | Infineon Technologies AG (Semiconductors & Semiconductor Equipment) | 8,156,489 | ||||||
| 29,471 | Jenoptik AG (Technology Hardware & Equipment) | 506,486 | ||||||
| 5,640 | Koenig & Bauer AG (Capital Goods)* | 265,444 | ||||||
| 13,339 | Merck KGaA (Pharmaceuticals, Biotechnology & Life Sciences) | 1,372,984 | ||||||
|
| |||||||
| 32 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Germany – (continued) | ||||||||
| 147,370 | METRO AG (Food & Staples Retailing) | $ | 4,414,354 | |||||
| 98,553 | Siemens AG (Registered) (Capital Goods) | 11,197,337 | ||||||
| 57,913 | Software AG (Software & Services) | 2,104,801 | ||||||
| 42,257 | STADA Arzneimittel AG (Pharmaceuticals, Biotechnology & Life Sciences) | 2,119,127 | ||||||
| 18,787 | Suedzucker AG (Food, Beverage & Tobacco) | 481,934 | ||||||
| 53,419 | Suess MicroTec AG (Semiconductors & Semiconductor Equipment)*(a) | 374,306 | ||||||
|
| |||||||
| 71,145,989 | ||||||||
|
| |||||||
| Hong Kong – 3.9% | ||||||||
| 1,155,200 | AIA Group Ltd. (Insurance) | 7,267,372 | ||||||
| 534,000 | Cheung Kong Property Holdings Ltd. (Real Estate) | 3,947,682 | ||||||
| 262,000 | CLP Holdings Ltd. (Utilities) | 2,663,229 | ||||||
| 149,000 | Hang Lung Properties Ltd. (Real Estate) | 327,668 | ||||||
| 205,000 | Henderson Land Development Co. Ltd. (Real Estate) | 1,212,622 | ||||||
| 82,600 | Jardine Strategic Holdings Ltd. (Capital Goods) | 2,898,219 | ||||||
| 314,000 | Sino Land Co. Ltd. (Real Estate) | 533,153 | ||||||
| 776,000 | Truly International Holdings Ltd. (Technology Hardware & Equipment) | 303,480 | ||||||
| 791,000 | Wheelock & Co. Ltd. (Real Estate) | 4,867,899 | ||||||
| 358,000 | Xinyi Glass Holdings Ltd. (Automobiles & Components)* | 307,822 | ||||||
| 535,000 | Yue Yuen Industrial Holdings Ltd. (Consumer Durables & Apparel) | 2,037,405 | ||||||
|
| |||||||
| 26,366,551 | ||||||||
|
| |||||||
| Ireland – 0.2% | ||||||||
| 10,471 | Paddy Power Betfair plc (Consumer Services) | 1,085,064 | ||||||
|
| |||||||
| Israel – 0.0% | ||||||||
| 23,638 | Bank Hapoalim BM (Banks) | 136,338 | ||||||
| 2,930 | Teva Pharmaceutical Industries Ltd. ADR (Pharmaceuticals, Biotechnology & Life Sciences) | 125,228 | ||||||
|
| |||||||
| 261,566 | ||||||||
|
| |||||||
| Italy – 3.5% | ||||||||
| 16,589 | Brembo SpA (Automobiles & Components) | 1,027,083 | ||||||
| 1,763,405 | Enel SpA (Utilities) | 7,581,474 | ||||||
| 394,622 | Eni SpA (Energy) | 5,726,857 | ||||||
| 23,665 | Interpump Group SpA (Capital Goods) | 379,545 | ||||||
| 1,481,079 | Intesa Sanpaolo SpA (Banks) | 3,434,136 | ||||||
| 180,590 | Prysmian SpA (Capital Goods) | 4,490,841 | ||||||
| 231,845 | UniCredit SpA (Banks) | 575,349 | ||||||
|
| |||||||
| 23,215,285 | ||||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Japan – 20.9% | ||||||||
| 6,100 | Aichi Steel Corp. (Materials) | $ | 293,715 | |||||
| 393,300 | Amada Holdings Co. Ltd. (Capital Goods) | 4,480,120 | ||||||
| 10,100 | Asatsu-DK, Inc. (Media) | 280,287 | ||||||
| 335,900 | Astellas Pharma, Inc. (Pharmaceuticals, Biotechnology & Life Sciences) | 4,985,382 | ||||||
| 101,700 | Chubu Electric Power Co., Inc. (Utilities) | 1,497,163 | ||||||
| 28,600 | CMK Corp. (Technology Hardware & Equipment)* | 151,086 | ||||||
| 509,800 | Concordia Financial Group Ltd. (Banks) | 2,363,792 | ||||||
| 230,100 | Daiwa House Industry Co. Ltd. (Real Estate) | 6,315,458 | ||||||
| 103,600 | DeNA Co. Ltd. (Software & Services) | 3,333,009 | ||||||
| 21,800 | Denso Corp. (Automobiles & Components) | 948,627 | ||||||
| 5,000 | DIC Corp. (Materials) | 151,459 | ||||||
| 29,500 | Electric Power Development Co. Ltd. Class C (Utilities) | 686,965 | ||||||
| 127,100 | FUJIFILM Holdings Corp. (Technology Hardware & Equipment) | 4,805,766 | ||||||
| 70,000 | Fujitsu Ltd. (Software & Services) | 415,179 | ||||||
| 495,000 | Fukuoka Financial Group, Inc. (Banks) | 2,142,099 | ||||||
| 104,600 | Gree, Inc. (Software & Services) | 580,018 | ||||||
| 51,700 | GungHo Online Entertainment, Inc. (Software & Services)(a) | 130,805 | ||||||
| 213,700 | Honda Motor Co. Ltd. (Automobiles & Components) | 6,394,251 | ||||||
| 19,400 | Hosiden Corp. (Technology Hardware & Equipment) | 143,876 | ||||||
| 23,300 | Hoya Corp. (Health Care Equipment & Services) | 972,169 | ||||||
| 24,300 | Idemitsu Kosan Co. Ltd. (Energy) | 558,412 | ||||||
| 493,900 | Inpex Corp. (Energy) | 4,607,479 | ||||||
| 71,100 | ITOCHU Corp. (Capital Goods) | 897,901 | ||||||
| 130,800 | JSR Corp. (Materials) | 1,987,698 | ||||||
| 1,089,000 | JX Holdings, Inc. (Energy) | 4,302,815 | ||||||
| 28,800 | KDDI Corp. (Telecommunication Services) | 875,323 | ||||||
| 11,300 | Keihin Corp. (Automobiles & Components) | 184,721 | ||||||
| 102,200 | Konami Holdings Corp. (Software & Services) | 4,036,124 | ||||||
| 22,300 | Kyocera Corp. (Technology Hardware & Equipment) | 1,083,534 | ||||||
| 54,000 | Makino Milling Machine Co. Ltd. (Capital Goods) | 343,131 | ||||||
| 17,900 | Matsumotokiyoshi Holdings Co. Ltd. (Food & Staples Retailing) | 922,178 | ||||||
| 83,000 | Miraca Holdings, Inc. (Health Care Equipment & Services) | 4,006,923 | ||||||
| 870,400 | Mitsubishi Chemical Holdings Corp. (Materials) | 5,714,980 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 33 |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND
Schedule of Investments (continued)
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Japan – (continued) | ||||||||
| 12,400 | Mitsubishi Gas Chemical Co., Inc. (Materials) | $ | 190,845 | |||||
| 1,374,900 | Mitsubishi UFJ Financial Group, Inc. (Banks) | 7,094,225 | ||||||
| 598,000 | Mitsui Chemicals, Inc. (Materials) | 2,944,944 | ||||||
| 7,600 | MS&AD Insurance Group Holdings, Inc. (Insurance) | 225,620 | ||||||
| 21,200 | Namura Shipbuilding Co. Ltd. (Capital Goods) | 129,275 | ||||||
| 93,100 | Nexon Co. Ltd. (Software & Services) | 1,584,842 | ||||||
| 287,200 | Nikon Corp. (Consumer Durables & Apparel) | 4,340,429 | ||||||
| 638,000 | Nippon Electric Glass Co. Ltd. (Technology Hardware & Equipment) | 3,470,707 | ||||||
| 237,400 | Nippon Light Metal Holdings Co. Ltd. (Materials) | 540,561 | ||||||
| 87,000 | Nippon Telegraph & Telephone Corp. (Telecommunication Services) | 3,857,305 | ||||||
| 101,100 | Nipro Corp. (Health Care Equipment & Services) | 1,248,478 | ||||||
| 8,800 | Nishi-Nippon Financial Holdings, Inc. (Banks)* | 87,606 | ||||||
| 9,200 | Nissin Electric Co. Ltd. (Capital Goods) | 122,681 | ||||||
| 76,000 | NTT DOCOMO, Inc. (Telecommunication Services) | 1,908,664 | ||||||
| 126,600 | Ono Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 3,209,777 | ||||||
| 445,200 | ORIX Corp. (Diversified Financials) | 7,054,817 | ||||||
| 150,200 | Rengo Co. Ltd. (Materials) | 941,950 | ||||||
| 9,400 | Rohm Co. Ltd. (Semiconductors & Semiconductor Equipment) | 494,108 | ||||||
| 15,700 | Sankyo Co. Ltd. (Consumer Durables & Apparel) | 553,095 | ||||||
| 125,400 | Seven Bank Ltd. (Banks) | 385,503 | ||||||
| 50,300 | Shionogi & Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 2,477,175 | ||||||
| 75,000 | Shizuoka Bank Ltd. (The) (Banks) | 632,965 | ||||||
| 21,000 | SoftBank Group Corp. (Telecommunication Services) | 1,322,604 | ||||||
| 22,500 | Sony Financial Holdings, Inc. (Insurance) | 316,000 | ||||||
| 56,000 | Sumitomo Bakelite Co. Ltd. (Materials) | 304,119 | ||||||
| 1,045,000 | Sumitomo Chemical Co. Ltd. (Materials) | 4,942,198 | ||||||
| 327,000 | Sumitomo Electric Industries Ltd. (Automobiles & Components) | 4,830,927 | ||||||
| 53,600 | Sumitomo Mitsui Trust Holdings, Inc. (Banks) | 1,808,613 | ||||||
| 64,100 | T&D Holdings, Inc. (Insurance) | 775,152 | ||||||
| 66,200 | Tokyo Electron Ltd. (Semiconductors & Semiconductor Equipment) | 5,971,572 | ||||||
| 463,000 | Toppan Printing Co. Ltd. (Commercial & Professional Services) | 4,354,062 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Japan – (continued) | ||||||||
| 70,000 | Tosoh Corp. (Materials) | $ | 457,135 | |||||
| 500 | Toyota Motor Corp. (Automobiles & Components) | 29,003 | ||||||
| 21,800 | Toyota Tsusho Corp. (Capital Goods) | 514,665 | ||||||
| 55,400 | Yahoo Japan Corp. (Software & Services) | 212,514 | ||||||
|
| |||||||
| 139,926,581 | ||||||||
|
| |||||||
| Luxembourg – 0.7% | ||||||||
| 88,044 | Aperam SA (Materials) | 4,004,138 | ||||||
| 2,019 | Eurofins Scientific SE (Pharmaceuticals, Biotechnology & Life Sciences) | 917,527 | ||||||
|
| |||||||
| 4,921,665 | ||||||||
|
| |||||||
| Netherlands – 6.4% | ||||||||
| 26,355 | AMG Advanced Metallurgical Group NV (Materials) | 524,841 | ||||||
| 49,221 | ASM International NV (Semiconductors & Semiconductor Equipment) | 2,099,544 | ||||||
| 44,122 | ASML Holding NV (Semiconductors & Semiconductor Equipment) | 4,667,842 | ||||||
| 7,060 | Heineken Holding NV (Food, Beverage & Tobacco) | 543,209 | ||||||
| 888,664 | ING Groep NV (Banks) | 11,665,509 | ||||||
| 83,216 | Koninklijke DSM NV (Materials) | 5,348,667 | ||||||
| 124,908 | Koninklijke Philips NV (Capital Goods) | 3,763,748 | ||||||
| 32,629 | Koninklijke Vopak NV (Energy) | 1,646,868 | ||||||
| 185,191 | NN Group NV (Insurance) | 5,578,443 | ||||||
| 15,383 | NXP Semiconductors NV (Semiconductors & Semiconductor Equipment)* | 1,538,300 | ||||||
| 136,078 | Wolters Kluwer NV (Commercial & Professional Services) | 5,262,173 | ||||||
|
| |||||||
| 42,639,144 | ||||||||
|
| |||||||
| New Zealand – 0.1% | ||||||||
| 144,957 | Auckland International Airport Ltd. (Transportation) | 682,685 | ||||||
| 20,996 | EBOS Group Ltd. (Health Care Equipment & Services) | 255,811 | ||||||
|
| |||||||
| 938,496 | ||||||||
|
| |||||||
| Norway – 0.5% | ||||||||
| 686,985 | Norsk Hydro ASA (Materials) | 3,071,332 | ||||||
| 47,683 | Tomra Systems ASA (Commercial & Professional Services) | 517,670 | ||||||
|
| |||||||
| 3,589,002 | ||||||||
|
| |||||||
| Portugal – 1.0% | ||||||||
| 565,334 | EDP – Energias de Portugal SA (Utilities) | 1,868,577 | ||||||
| 303,935 | Galp Energia SGPS SA (Energy) | 4,120,836 | ||||||
| 20,482 | Jeronimo Martins, SGPS, SA (Food & Staples Retailing) | 351,944 | ||||||
|
| |||||||
| 6,341,357 | ||||||||
|
| |||||||
| 34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Singapore – 0.3% | ||||||||
| 147,300 | Venture Corp. Ltd. (Technology Hardware & Equipment) | $ | 1,006,236 | |||||
| 345,200 | Wilmar International Ltd. (Food, Beverage & Tobacco) | 819,545 | ||||||
|
| |||||||
| 1,825,781 | ||||||||
|
| |||||||
| Spain – 2.2% | ||||||||
| 3,544 | Aena SA (Transportation)(b) | 519,322 | ||||||
| 629,701 | Banco Bilbao Vizcaya Argentaria SA (Banks) | 4,533,020 | ||||||
| 271,896 | Bankinter SA (Banks) | 2,078,203 | ||||||
| 15,057 | Gamesa Corp. Tecnologica SA (Capital Goods) | 347,643 | ||||||
| 84,306 | Grifols SA (Pharmaceuticals, Biotechnology & Life Sciences) | 1,663,551 | ||||||
| 54,073 | Prosegur Cia de Seguridad SA (Commercial & Professional Services) | 392,094 | ||||||
| 354,864 | Repsol SA (Energy) | 4,954,785 | ||||||
| 35,164 | Telefonica SA (Telecommunication Services) | 357,287 | ||||||
|
| |||||||
| 14,845,905 | ||||||||
|
| |||||||
| Sweden – 1.2% | ||||||||
| 6,657 | Atlas Copco AB Class B (Capital Goods) | 173,885 | ||||||
| 29,355 | Biotage AB (Pharmaceuticals, Biotechnology & Life Sciences) | 142,263 | ||||||
| 33,447 | Boliden AB (Materials) | 775,183 | ||||||
| 104,181 | Granges AB (Materials) | 1,012,382 | ||||||
| 166,194 | Husqvarna AB Class B (Consumer Durables & Apparel) | 1,249,476 | ||||||
| 120,895 | Swedish Match AB (Food, Beverage & Tobacco) | 4,207,161 | ||||||
| 2,663 | Vitrolife AB (Pharmaceuticals, Biotechnology & Life Sciences) | 137,769 | ||||||
|
| |||||||
| 7,698,119 | ||||||||
|
| |||||||
| Switzerland – 7.8% | ||||||||
| 42,809 | Actelion Ltd. (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)* | 6,185,725 | ||||||
| 4,140 | Bachem Holding AG (Registered) Class B (Pharmaceuticals, Biotechnology & Life Sciences) | 369,004 | ||||||
| 2,616 | Bobst Group SA (Registered) (Capital Goods) | 144,078 | ||||||
| 2,098 | dorma+kaba Holding AG (Registered) Class B (Commercial & Professional Services)* | 1,457,865 | ||||||
| 5,969 | Georg Fischer AG (Registered) (Capital Goods) | 5,292,094 | ||||||
| 475,496 | Glencore plc (Materials)* | 1,455,544 | ||||||
| 36,656 | Lonza Group AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)* | 6,917,049 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Switzerland – (continued) | ||||||||
| 44,841 | Nestle SA (Registered) (Food, Beverage & Tobacco) | $ | 3,251,596 | |||||
| 1,292 | Rieter Holding AG (Registered) (Capital Goods)* | 245,364 | ||||||
| 40,633 | Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences) | 9,332,657 | ||||||
| 6,340 | Schindler Holding AG (Capital Goods) | 1,177,825 | ||||||
| 152 | Schweiter Technologies AG (Capital Goods) | 163,743 | ||||||
| 953 | Sika AG (Materials) | 4,580,555 | ||||||
| 483,028 | STMicroelectronics NV (Semiconductors & Semiconductor Equipment) | 4,600,082 | ||||||
| 77,585 | Swiss Re AG (Insurance) | 7,200,801 | ||||||
|
| |||||||
| 52,373,982 | ||||||||
|
| |||||||
| United Kingdom – 16.4% | ||||||||
| 614,245 | 3i Group plc (Diversified Financials) | 5,035,090 | ||||||
| 119,439 | Amec Foster Wheeler plc (Energy) | 651,649 | ||||||
| 204,612 | Anglo American plc (Materials)* | 2,839,852 | ||||||
| 489,992 | Beazley plc (Insurance) | 2,181,726 | ||||||
| 278,844 | BP plc ADR (Energy)(c) | 9,912,904 | ||||||
| 186,724 | British American Tobacco plc (Food, Beverage & Tobacco) | 10,701,703 | ||||||
| 300,775 | Compass Group plc (Consumer Services) | 5,442,307 | ||||||
| 90,842 | CYBG plc (Banks)* | 296,613 | ||||||
| 202,200 | Diageo plc (Food, Beverage & Tobacco) | 5,381,863 | ||||||
| 131,518 | Direct Line Insurance Group plc (Insurance) | 556,396 | ||||||
| 88,765 | Dixons Carphone plc (Retailing) | 341,264 | ||||||
| 23,233 | Domino’s Pizza Group plc (Consumer Services) | 96,600 | ||||||
| 79,331 | DS Smith plc (Materials) | 386,833 | ||||||
| 800,458 | GKN plc (Automobiles & Components) | 3,121,645 | ||||||
| 223,733 | GlaxoSmithKline plc ADR (Pharmaceuticals, Biotechnology & Life Sciences) | 8,951,557 | ||||||
| 924,873 | HSBC Holdings plc (Banks) | 6,965,343 | ||||||
| 76,347 | Imperial Brands plc (Food, Beverage & Tobacco) | 3,693,045 | ||||||
| 30,801 | Intertek Group plc (Commercial & Professional Services) | 1,285,082 | ||||||
| 8,039,664 | Lloyds Banking Group plc (Banks) | 5,614,279 | ||||||
| 14,406 | Micro Focus International plc (Software & Services) | 377,229 | ||||||
| 495,247 | National Grid plc (Utilities) | 6,442,063 | ||||||
| 14,313 | Persimmon plc (Consumer Durables & Apparel) | 296,277 | ||||||
| 94,542 | Reckitt Benckiser Group plc (Household & Personal Products) | 8,457,775 | ||||||
| 137,381 | Saga plc (Insurance) | 333,231 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 35 |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND
Schedule of Investments (continued)
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| United Kingdom – (continued) | ||||||||
| 68,357 | Sage Group plc (The) (Software & Services) | $ | 603,111 | |||||
| 242,725 | Smiths Group plc (Capital Goods) | 4,205,980 | ||||||
| 19,966 | Spirax-Sarco Engineering plc (Capital Goods) | 1,076,469 | ||||||
| 124,041 | Subsea 7 SA (Energy)* | 1,388,562 | ||||||
| 221,242 | Tate & Lyle plc (Food, Beverage & Tobacco) | 2,109,977 | ||||||
| 65,623 | Unilever NV CVA (Household & Personal Products) | 2,744,746 | ||||||
| 48,020 | Unilever plc (Household & Personal Products) | 2,004,796 | ||||||
| 10,702 | Unilever plc ADR (Household & Personal Products) | 445,952 | ||||||
| 69,476 | Virgin Money Holdings UK plc (Banks) | 279,777 | ||||||
| 105,587 | William Hill plc (Consumer Services) | 381,957 | ||||||
| 249,935 | WPP plc (Media) | 5,426,851 | ||||||
|
| |||||||
| 110,030,504 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $600,401,273) | $ | 628,425,200 | ||||||
|
| |||||||
| Shares | Description | Rate | Value | |||||||
| Preferred Stocks – 1.0% | ||||||||||
| Germany – 1.0% | ||||||||||
| 44,197 | Henkel AG & Co. KGaA (Household & Personal Products) | 1.470 | % | $ | 5,680,669 | |||||
| 61,667 | Schaeffler AG (Automobiles & Components) | 0.150 | 934,844 | |||||||
| ||||||||||
| TOTAL PREFERRED STOCKS | ||||||||||
| (Cost $6,246,878) | $ | 6,615,513 | ||||||||
| ||||||||||
| Shares | Distribution Rate | Value | ||||||
| Investment Company(d)(e) – 0.3% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
| 2,004,646 | 0.295% | $ | 2,004,646 | |||||
| (Cost $2,004,646) | ||||||||
|
| |||||||
| | TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | | ||||||
| (Cost $608,652,797) | $ | 637,045,359 | ||||||
|
| |||||||
| Securities Lending Reinvestment Vehicle(d)(e) – 0.1% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
| 440,343 | 0.295% | $ | 440,343 | |||||
| (Cost $440,343) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS – 95.3% | ||||||||
| (Cost $609,093,140) | $ | 637,485,702 | ||||||
|
| |||||||
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 4.7% | 31,741,169 | ||||||
|
| |||||||
| NET ASSETS – 100.0% | $ | 669,226,871 | ||||||
|
| |||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $519,322, which represents approximately 0.1% of net assets as of October 31, 2016. | |
(c) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(d) | Represents an affiliated issuer. | |
(e) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on October 31, 2016. | |
| ||
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
CVA | —Dutch Certification | |
REIT | —Real Estate Investment Trust | |
| ||
| 36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At October 31, 2016, the Fund had the following futures contracts:
| Type | Number of Contracts Long (Short) | Expiration Date | Current Value | Unrealized Gain (Loss) | ||||||||||
EURO STOXX 50 Index | 369 | December 2016 | $ | 12,366,779 | $ | 108,804 | ||||||||
FTSE 100 Index | 69 | December 2016 | 5,851,956 | (9,621 | ) | |||||||||
Hang Seng Index | 4 | November 2016 | 590,674 | (606 | ) | |||||||||
MSCI Singapore Index | 17 | November 2016 | 376,597 | (3,522 | ) | |||||||||
SPI 200 Index | 23 | December 2016 | 2,313,859 | (24,154 | ) | |||||||||
TSE TOPIX Index | 41 | December 2016 | 5,453,895 | 23,883 | ||||||||||
| TOTAL | $ | 94,784 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
Schedule of Investments
October 31, 2016
Shares | Description | Value | ||||||
| Common Stocks – 97.0% | ||||||||
| Australia – 8.1% | ||||||||
| 312,606 | Altium Ltd. (Software & Services) | $ | 1,860,950 | |||||
| 145,032 | APN Outdoor Group Ltd. (Media) | 523,035 | ||||||
| 2,495,287 | BlueScope Steel Ltd. (Materials) | 14,803,623 | ||||||
| 1,008,975 | BWP Trust (REIT) | 2,275,582 | ||||||
| 3,484,876 | Charter Hall Group (REIT) | 12,434,273 | ||||||
| 86,192 | Costa Group Holdings Ltd. (Food, Beverage & Tobacco) | 186,435 | ||||||
| 288,529 | Cromwell Property Group (REIT) | 199,508 | ||||||
| 333,104 | Downer EDI Ltd. (Commercial & Professional Services) | 1,472,284 | ||||||
| 579,504 | Genworth Mortgage Insurance Australia Ltd. (Banks) | 1,347,028 | ||||||
| 4,454,978 | Investa Office Fund (REIT) | 14,349,087 | ||||||
| 741,959 | JB Hi-Fi Ltd. (Retailing) | 15,994,358 | ||||||
| 1,703,387 | Mineral Resources Ltd. (Materials) | 14,985,374 | ||||||
| 2,129,081 | Myer Holdings Ltd. (Retailing)(a) | 1,897,677 | ||||||
| 2,663,186 | OZ Minerals Ltd. (Materials) | 13,607,143 | ||||||
| 628,975 | Pact Group Holdings Ltd. (Materials) | 3,135,402 | ||||||
| 905,630 | Regis Resources Ltd. (Materials) | 2,283,952 | ||||||
| 327,051 | Sandfire Resources NL (Materials) | 1,290,074 | ||||||
| 247,514 | Seven Group Holdings Ltd. (Capital Goods) | 1,706,005 | ||||||
| 1,086,015 | Sigma Pharmaceuticals Ltd. (Health Care Equipment & Services) | 1,095,999 | ||||||
| 5,479,129 | Southern Cross Media Group Ltd. Class L (Media) | 5,981,354 | ||||||
| 772,969 | St. Barbara Ltd. (Materials)* | 1,577,641 | ||||||
| 182,400 | Technology One Ltd. (Software & Services) | 778,950 | ||||||
| 3,981,649 | Whitehaven Coal Ltd. (Energy)* | 9,156,723 | ||||||
| 43,800 | WorleyParsons Ltd. (Energy)* | 279,925 | ||||||
|
| |||||||
| 123,222,382 | ||||||||
|
| |||||||
| Austria – 0.3% | ||||||||
| 51,559 | BUWOG AG (Real Estate)* | 1,246,172 | ||||||
| 14,866 | Lenzing AG (Materials) | 1,936,267 | ||||||
| 12,433 | Porr AG (Capital Goods) | 446,866 | ||||||
| 36,715 | S IMMO AG (Real Estate)* | 393,990 | ||||||
|
| |||||||
| 4,023,295 | ||||||||
|
| |||||||
| Belgium – 3.2% | ||||||||
| 615,133 | Agfa-Gevaert NV (Health Care Equipment & Services)* | 2,556,557 | ||||||
| 31,590 | Barco NV (Technology Hardware & Equipment) | 2,482,939 | ||||||
| 25,548 | Befimmo SA (REIT) | 1,488,995 | ||||||
| 290,317 | Bekaert SA (Materials) | 12,906,405 | ||||||
| 178,562 | bpost SA (Transportation) | 4,750,552 | ||||||
| 124,631 | D’ieteren SA/NV (Retailing) | 5,494,293 | ||||||
| 40,456 | Galapagos NV (Pharmaceuticals, Biotechnology & Life Sciences)* | 2,461,534 | ||||||
| 6,136 | Gimv NV (Diversified Financials) | 330,238 | ||||||
| 5,311 | Intervest Offices & Warehouses NV (REIT) | 140,897 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Belgium – (continued) | ||||||||
| 52,409 | Ion Beam Applications (Health Care Equipment & Services) | 2,488,960 | ||||||
| 99,549 | Melexis NV (Semiconductors & Semiconductor Equipment) | 6,517,624 | ||||||
| 106,217 | Tessenderlo Chemie NV (Materials)* | 3,546,128 | ||||||
| 42,913 | Warehouses De Pauw SCA (REIT) | 3,953,749 | ||||||
|
| |||||||
| 49,118,871 | ||||||||
|
| |||||||
| Denmark – 1.6% | ||||||||
| 184,884 | Dfds A/S (Transportation) | 8,933,268 | ||||||
| 190,395 | Royal Unibrew A/S (Food, Beverage & Tobacco) | 8,906,953 | ||||||
| 24,541 | Schouw & Co AB (Food, Beverage & Tobacco) | 1,556,841 | ||||||
| 171,073 | Sydbank A/S (Banks) | 5,341,976 | ||||||
|
| |||||||
| 24,739,038 | ||||||||
|
| |||||||
| Faroe Islands – 0.7% | ||||||||
| 246,266 | Bakkafrost P/F (Food, Beverage & Tobacco) | 10,325,255 | ||||||
|
| |||||||
| Finland – 1.5% | ||||||||
| 120,833 | Cramo OYJ (Capital Goods) | 3,166,880 | ||||||
| 1,608,893 | Outokumpu OYJ (Materials)*(a) | 11,216,508 | ||||||
| 188,106 | Ramirent OYJ (Capital Goods) | 1,386,983 | ||||||
| 644,405 | Sponda OYJ (Real Estate) | 3,050,906 | ||||||
| 93,101 | Tieto OYJ (Software & Services) | 2,553,991 | ||||||
| 54,990 | Valmet OYJ (Capital Goods) | 816,441 | ||||||
|
| |||||||
| 22,191,709 | ||||||||
|
| |||||||
| France – 4.0% | ||||||||
| 31,181 | Alten SA (Software & Services) | 2,227,858 | ||||||
| 39,576 | Assystem (Commercial & Professional Services) | 1,186,036 | ||||||
| 14,414 | Euler Hermes Group (Insurance) | 1,250,362 | ||||||
| 22,250 | Faurecia (Automobiles & Components) | 820,167 | ||||||
| 11,796 | Guerbet (Health Care Equipment & Services) | 701,005 | ||||||
| 185,346 | Havas SA (Media) | 1,508,683 | ||||||
| 148,564 | IPSOS (Media) | 4,852,173 | ||||||
| 263,386 | Nexans SA (Capital Goods)* | 14,971,475 | ||||||
| 163,373 | Nexity SA (Real Estate)* | 8,202,716 | ||||||
| 12,951 | SEB SA (Consumer Durables & Apparel) | 1,906,068 | ||||||
| 85,823 | Teleperformance (Commercial & Professional Services) | 9,067,854 | ||||||
| 384,059 | Ubisoft Entertainment SA (Software & Services)* | 13,067,834 | ||||||
| 14,606 | Vicat SA (Materials) | 918,308 | ||||||
|
| |||||||
| 60,680,539 | ||||||||
|
| |||||||
| Germany – 7.0% | ||||||||
| 35,197 | Aareal Bank AG (Banks) | 1,273,081 | ||||||
| 134,770 | AURELIUS Equity Opportunities SE & Co. KGaA (Diversified Financials) | 8,046,754 | ||||||
|
| |||||||
| 38 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Germany – (continued) | ||||||||
| 29,703 | Bechtle AG (Software & Services) | $ | 3,123,890 | |||||
| 21,445 | Carl Zeiss Meditec AG (Health Care Equipment & Services) | 771,960 | ||||||
| 49,470 | Cewe Stiftung & Co. KGAA (Commercial & Professional Services) | 4,740,285 | ||||||
| 1,209,165 | Evotec AG (Pharmaceuticals, Biotechnology & Life Sciences)* | 6,630,709 | ||||||
| 190,324 | Gerresheimer AG (Pharmaceuticals, Biotechnology & Life Sciences) | 14,356,139 | ||||||
| 75,329 | Grammer AG (Automobiles & Components) | 4,312,338 | ||||||
| 23,168 | Homag Group AG (Capital Goods) | 1,051,387 | ||||||
| 55,397 | Indus Holding AG (Capital Goods) | 3,269,766 | ||||||
| 189,627 | Jenoptik AG (Technology Hardware & Equipment) | 3,258,913 | ||||||
| 1,103,743 | Kloeckner & Co. SE (Capital Goods)* | 13,783,398 | ||||||
| 62,476 | Koenig & Bauer AG (Capital Goods)* | 2,940,408 | ||||||
| 89,539 | Nemetschek SE (Software & Services) | 5,584,709 | ||||||
| 86,158 | Pfeiffer Vacuum Technology AG (Capital Goods)(a) | 7,817,873 | ||||||
| 16,460 | Rheinmetall AG (Capital Goods) | 1,142,618 | ||||||
| 392,069 | Software AG (Software & Services) | 14,249,433 | ||||||
| 106,355 | STADA Arzneimittel AG (Pharmaceuticals, Biotechnology & Life Sciences) | 5,333,550 | ||||||
| 8,080 | STRATEC Biomedical AG (Health Care Equipment & Services) | 461,931 | ||||||
| 267,628 | TAG Immobilien AG (Real Estate) | 3,568,726 | ||||||
| 50,780 | Takkt AG (Retailing) | 1,204,358 | ||||||
| 8,301 | Zeal Network SE (Consumer Services) | 282,111 | ||||||
|
| |||||||
| 107,204,337 | ||||||||
|
| |||||||
| Hong Kong – 1.6% | ||||||||
| 1,862,000 | Champion REIT (REIT) | 1,057,703 | ||||||
| 1,165,000 | Emperor Entertainment Hotel Ltd. (Consumer Services) | 282,010 | ||||||
| 1,418,000 | Emperor International Holdings Ltd. (Real Estate) | 332,024 | ||||||
| 1,552,000 | Giordano International Ltd. (Retailing) | 818,233 | ||||||
| 145,000 | Great Eagle Holdings Ltd. (Real Estate) | 643,209 | ||||||
| 18,084,000 | G-Resources Group Ltd. (Materials) | 317,743 | ||||||
| 3,048,000 | Haitong International Securities Group Ltd. (Diversified Financials) | 1,950,073 | ||||||
| 195,500 | Hopewell Holdings Ltd. (Capital Goods) | 684,522 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Hong Kong – (continued) | ||||||||
| 3,127,000 | Hutchison Telecommunications Hong Kong Holdings Ltd. (Telecommunication Services) | 1,007,080 | ||||||
| 1,077,000 | Melco International Development Ltd. (Consumer Services) | 1,404,450 | ||||||
| 6,106,000 | Shun Tak Holdings Ltd. (Capital Goods) | 2,058,426 | ||||||
| 1,675,208 | SmarTone Telecommunications Holdings Ltd. (Telecommunication Services) | 2,528,770 | ||||||
| 607,000 | Sunlight Real Estate Investment Trust (REIT) | 375,454 | ||||||
| 3,214,000 | Texwinca Holdings Ltd. (Consumer Durables & Apparel) | 2,252,628 | ||||||
| 7,266,000 | Truly International Holdings Ltd. (Technology Hardware & Equipment)(a) | 2,841,608 | ||||||
| 6,300,000 | Xinyi Glass Holdings Ltd. (Automobiles & Components)* | 5,416,974 | ||||||
|
| |||||||
| 23,970,907 | ||||||||
|
| |||||||
| Ireland – 0.1% | ||||||||
| 320,500 | Hibernia REIT plc (REIT) | 451,397 | ||||||
| 165,677 | Hostelworld Group plc (Retailing)(b) | 450,680 | ||||||
|
| |||||||
| 902,077 | ||||||||
|
| |||||||
| Israel – 0.7% | ||||||||
| 234,075 | Amot Investments Ltd. (Real Estate) | 976,806 | ||||||
| 2,024,309 | El Al Israel Airlines (Transportation) | 1,973,371 | ||||||
| 741,609 | Plus500 Ltd. (Diversified Financials) | 5,614,306 | ||||||
| 426,120 | Shufersal Ltd. (Food & Staples Retailing) | 1,608,721 | ||||||
| 10,501 | Strauss Group Ltd. (Food, Beverage & Tobacco) | 165,306 | ||||||
|
| |||||||
| 10,338,510 | ||||||||
|
| |||||||
| Italy – 3.9% | ||||||||
| 200,936 | Ascopiave SpA (Utilities) | 587,618 | ||||||
| 21,029 | ASTM SpA (Transportation) | 227,011 | ||||||
| 74,613 | Banca IFIS SpA (Diversified Financials) | 2,160,888 | ||||||
| 206,557 | Banca Mediolanum SpA (Diversified Financials) | 1,428,151 | ||||||
| 1,147,736 | Banca Popolare dell’Emilia Romagna SC (Banks) | 5,393,292 | ||||||
| 1,797,048 | Beni Stabili SpA SIIQ (REIT)* | 1,047,799 | ||||||
| 169,845 | Biesse SpA (Capital Goods) | 2,930,221 | ||||||
| 75,682 | Brembo SpA (Automobiles & Components) | 4,685,738 | ||||||
| 103,398 | Buzzi Unicem SpA (Materials) | 2,010,853 | ||||||
| 996,769 | Credito Valtellinese SC (Banks) | 438,687 | ||||||
| 230,714 | De’ Longhi SpA (Consumer Durables & Apparel) | 5,398,180 | ||||||
| 151,263 | DiaSorin SpA (Health Care Equipment & Services) | 9,296,272 | ||||||
| 389,313 | FinecoBank Banca Fineco SpA (Banks) | 2,275,127 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
Schedule of Investments (continued)
October 31, 2016
Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Italy – (continued) | ||||||||
| 572,465 | Hera SpA (Utilities) | $ | 1,463,252 | |||||
| 5,033 | Industria Macchine Automatiche SpA (Capital Goods) | 311,282 | ||||||
| 292,086 | Interpump Group SpA (Capital Goods) | 4,684,548 | ||||||
| 8,550 | Italmobiliare SpA (Capital Goods) | 405,559 | ||||||
| 145,449 | La Doria SpA (Food, Beverage & Tobacco) | 1,224,282 | ||||||
| 43,157 | Moncler SpA (Consumer Durables & Apparel) | 718,475 | ||||||
| 428,546 | Recordati SpA (Pharmaceuticals, Biotechnology & Life Sciences) | 12,118,792 | ||||||
| 10,158 | Reply SpA (Software & Services) | 1,276,783 | ||||||
|
| |||||||
| 60,082,810 | ||||||||
|
| |||||||
| Japan – 32.3% | ||||||||
| 41,800 | Adastria Co. Ltd. (Retailing) | 1,094,244 | ||||||
| 62,400 | Aichi Steel Corp. (Materials) | 3,004,561 | ||||||
| 46,500 | Aoyama Trading Co. Ltd. (Retailing) | 1,638,141 | ||||||
| 369,500 | Asatsu-DK, Inc. (Media) | 10,254,080 | ||||||
| 126,200 | Avex Group Holdings, Inc. (Media) | 1,669,291 | ||||||
| 57,400 | BML, Inc. (Health Care Equipment & Services) | 1,522,390 | ||||||
| 9,600 | C. Uyemura & Co. Ltd. (Materials) | 446,857 | ||||||
| 84,400 | Canon Electronics, Inc. (Technology Hardware & Equipment) | 1,312,800 | ||||||
| 447,500 | Canon Marketing Japan, Inc. (Retailing) | 7,728,672 | ||||||
| 86,900 | Capcom Co. Ltd. (Software & Services) | 2,244,901 | ||||||
| 88,500 | Cawachi Ltd. (Food & Staples Retailing) | 2,277,611 | ||||||
| 422,000 | Central Glass Co. Ltd. (Capital Goods) | 1,726,171 | ||||||
| 41,500 | Chiyoda Integre Co. Ltd. (Capital Goods) | 858,936 | ||||||
| 172,000 | Chugoku Marine Paints Ltd. (Materials) | 1,251,712 | ||||||
| 34,600 | cocokara fine, Inc. (Food & Staples Retailing) | 1,338,358 | ||||||
| 31,000 | Daiwa Industries Ltd. (Capital Goods) | 270,000 | ||||||
| 113,000 | DeNA Co. Ltd. (Software & Services) | 3,635,425 | ||||||
| 327,600 | DIC Corp. (Materials) | 9,923,603 | ||||||
| 75,500 | Doshisha Co. Ltd. (Retailing) | 1,562,360 | ||||||
| 243,100 | Doutor Nichires Holdings Co. Ltd. (Consumer Services) | 4,865,809 | ||||||
| 159,300 | DTS Corp. (Software & Services) | 3,529,136 | ||||||
| 216,490 | Duskin Co. Ltd. (Commercial & Professional Services) | 4,158,407 | ||||||
| 456,200 | EDION Corp. (Retailing)(a) | 4,041,658 | ||||||
| 86,200 | EPS Holdings, Inc. (Pharmaceuticals, Biotechnology & Life Sciences) | 1,131,214 | ||||||
| 263,600 | Fancl Corp. (Household & Personal Products) | 3,984,065 | ||||||
| 51,300 | Fields Corp. (Consumer Durables & Apparel) | 621,953 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Japan – (continued) | ||||||||
| 172,300 | Foster Electric Co. Ltd. (Consumer Durables & Apparel) | 3,161,715 | ||||||
| 57 | Frontier Real Estate Investment Corp. (REIT) | 268,105 | ||||||
| 88,000 | Fuji Machine Manufacturing Co. Ltd. (Capital Goods) | 1,119,982 | ||||||
| 99,800 | Fuji Soft, Inc. (Software & Services) | 2,650,963 | ||||||
| 66,900 | Fujibo Holdings, Inc. (Consumer Durables & Apparel) | 2,115,670 | ||||||
| 59,410 | Fujicco Co. Ltd. (Food, Beverage & Tobacco) | 1,359,263 | ||||||
| 898,000 | Fujikura Ltd. (Capital Goods) | 5,276,204 | ||||||
| 53,400 | Futaba Corp. (Capital Goods) | 871,821 | ||||||
| 41,700 | Fuyo General Lease Co. Ltd. (Diversified Financials) | 2,114,751 | ||||||
| 117,900 | Geo Holdings Corp. (Retailing) | 1,495,678 | ||||||
| 699,200 | Gree, Inc. (Software & Services) | 3,877,136 | ||||||
| 224,600 | Gunma Bank Ltd. (The) (Banks) | 1,072,434 | ||||||
| 1,981 | Hankyu REIT, Inc. (REIT) | 2,820,928 | ||||||
| 251,900 | Heiwa Corp. (Consumer Durables & Apparel) | 5,917,459 | ||||||
| 55,500 | Heiwa Real Estate Co. Ltd. (Real Estate) | 789,766 | ||||||
| 4,043 | Heiwa Real Estate REIT, Inc. (REIT) | 3,059,822 | ||||||
| 60,800 | Hitachi Capital Corp. (Diversified Financials) | 1,356,292 | ||||||
| 128,200 | Hitachi Transport System Ltd. (Transportation) | 2,642,773 | ||||||
| 450,100 | Hokuhoku Financial Group, Inc. (Banks) | 6,488,095 | ||||||
| 597,500 | Hosiden Corp. (Technology Hardware & Equipment) | 4,431,218 | ||||||
| 101,800 | IBJ Leasing Co. Ltd. (Diversified Financials) | 2,129,121 | ||||||
| 5,474 | Ichigo Office REIT Investment (REIT) | 3,689,051 | ||||||
| 159,100 | Ines Corp. (Software & Services) | 1,769,478 | ||||||
| 55,200 | Japan Digital Laboratory Co. Ltd. (Technology Hardware & Equipment) | 857,869 | ||||||
| 247,600 | Japan Securities Finance Co. Ltd. (Diversified Financials) | 1,100,429 | ||||||
| 24,500 | J-Oil Mills, Inc. (Food, Beverage & Tobacco) | 871,157 | ||||||
| 55,100 | Kadokawa Dwango Corp. (Media) | 813,681 | ||||||
| 247,000 | Kandenko Co. Ltd. (Capital Goods) | 2,434,959 | ||||||
| 160,000 | Kanematsu Corp. (Capital Goods) | 263,276 | ||||||
| 524,500 | Keihin Corp. (Automobiles & Components) | 8,573,998 | ||||||
| 2,568 | Kenedix Office Investment Corp. (REIT) | 14,479,832 | ||||||
| 287 | Kenedix Residential Investment Corp. (REIT) | 815,266 | ||||||
| 214,100 | Kissei Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 5,595,536 | ||||||
|
| |||||||
| 40 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Japan – (continued) | ||||||||
| 633,500 | Kitz Corp. (Capital Goods) | $ | 3,642,744 | |||||
| 153,460 | Koei Tecmo Holdings Co. Ltd. (Software & Services) | 2,935,868 | ||||||
| 231,900 | Kohnan Shoji Co. Ltd. (Retailing) | 4,587,049 | ||||||
| 599,600 | Kokuyo Co. Ltd. (Commercial & Professional Services) | 7,943,428 | ||||||
| 110,200 | Komeri Co. Ltd. (Retailing) | 2,690,802 | ||||||
| 268,000 | Kurabo Industries Ltd. (Consumer Durables & Apparel) | 535,436 | ||||||
| 23,300 | Kuroda Electric Co. Ltd. (Capital Goods) | 453,347 | ||||||
| 392,000 | Maeda Road Construction Co. Ltd. (Capital Goods) | 7,252,040 | ||||||
| 2,069,000 | Makino Milling Machine Co. Ltd. (Capital Goods) | 13,146,995 | ||||||
| 36,900 | Mandom Corp. (Household & Personal Products) | 1,721,038 | ||||||
| 83,100 | Maruwa Co. Ltd. (Technology Hardware & Equipment) | 3,135,935 | ||||||
| 1,185,200 | Marvelous, Inc. (Software & Services)(a) | 8,423,106 | ||||||
| 136,100 | Matsui Securities Co. Ltd. (Diversified Financials) | 1,088,911 | ||||||
| 277,600 | Matsumotokiyoshi Holdings Co. Ltd. (Food & Staples Retailing) | 14,301,487 | ||||||
| 64,900 | Mimasu Semiconductor Industry Co. Ltd. (Semiconductors & Semiconductor Equipment) | 825,934 | ||||||
| 347,600 | Mirait Holdings Corp. (Capital Goods) | 3,082,217 | ||||||
| 5,117,000 | Mitsui Engineering & Shipbuilding Co. Ltd. (Capital Goods) | 7,109,986 | ||||||
| 31,000 | Mitsui Sugar Co. Ltd. (Food, Beverage & Tobacco) | 698,467 | ||||||
| 33,900 | Mochida Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 2,656,134 | ||||||
| 7,984 | Mori Trust Sogo REIT, Inc. (REIT) | 12,846,129 | ||||||
| 277,600 | Namura Shipbuilding Co. Ltd. (Capital Goods) | 1,692,766 | ||||||
| 114,800 | NEC Networks & System Integration Corp. (Software & Services) | 2,040,197 | ||||||
| 826,400 | NET One Systems Co. Ltd. (Software & Services) | 6,002,427 | ||||||
| 130,200 | Nikkon Holdings Co. Ltd. (Transportation) | 2,796,319 | ||||||
| 207,500 | Nippon Flour Mills Co. Ltd. (Food, Beverage & Tobacco) | 3,068,763 | ||||||
| 260,000 | Nippon Thompson Co. Ltd. (Capital Goods) | 1,028,622 | ||||||
| 1,025,500 | Nipro Corp. (Health Care Equipment & Services) | 12,663,839 | ||||||
| 607,100 | Nishi-Nippon Financial Holdings, Inc. (Banks)* | 6,043,791 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Japan – (continued) | ||||||||
| 725,000 | Nisshin Oillio Group Ltd. (The) (Food, Beverage & Tobacco) | 3,296,110 | ||||||
| 585,700 | Nisshinbo Holdings, Inc. (Capital Goods) | 5,831,383 | ||||||
| 16,500 | Nissin Electric Co. Ltd. (Capital Goods) | 220,026 | ||||||
| 10,700 | Nittetsu Mining Co. Ltd. (Materials) | 446,458 | ||||||
| 188,700 | Noritz Corp. (Capital Goods) | 3,910,924 | ||||||
| 531,100 | North Pacific Bank Ltd. (Banks) | 1,980,679 | ||||||
| 216,800 | NSD Co. Ltd. (Software & Services) | 3,489,217 | ||||||
| 383,400 | Okamura Corp. (Commercial & Professional Services) | 3,761,492 | ||||||
| 77,625 | Okinawa Electric Power Co., Inc. (The) (Utilities) | 1,798,221 | ||||||
| 1,656,000 | OKUMA Corp. (Capital Goods) | 13,858,169 | ||||||
| 232,900 | Paltac Corp. (Retailing) | 5,715,391 | ||||||
| 200,200 | Paramount Bed Holdings Co. Ltd. (Health Care Equipment & Services) | 7,624,700 | ||||||
| 139,700 | Plenus Co. Ltd. (Consumer Services) | 2,875,315 | ||||||
| 998,000 | Rengo Co. Ltd. (Materials) | 6,258,765 | ||||||
| 123,300 | Round One Corp. (Consumer Services) | 871,044 | ||||||
| 104,000 | Ryobi Ltd. (Capital Goods) | 419,240 | ||||||
| 116,000 | San-In Godo Bank Ltd. (The) (Banks) | 834,613 | ||||||
| 592,000 | Sanyo Shokai Ltd. (Consumer Durables & Apparel) | 953,298 | ||||||
| 965,500 | Seino Holdings Co. Ltd. (Transportation) | 10,698,405 | ||||||
| 6,289 | Sekisui House SI Residential Investment Corp. (REIT) | 7,290,546 | ||||||
| 113,000 | Senko Co. Ltd. (Transportation) | 781,224 | ||||||
| 311,900 | Shimachu Co. Ltd. (Retailing) | 8,369,176 | ||||||
| 393,000 | Shindengen Electric Manufacturing Co. Ltd. (Semiconductors & Semiconductor Equipment) | 1,699,538 | ||||||
| 252,100 | Shinko Electric Industries Co. Ltd. (Semiconductors & Semiconductor Equipment) | 1,624,681 | ||||||
| 517,000 | Shinmaywa Industries Ltd. (Capital Goods) | 4,001,846 | ||||||
| 30,900 | Showa Corp. (Automobiles & Components) | 202,246 | ||||||
| 208,800 | Showa Denko KK (Materials) | 2,758,933 | ||||||
| 32,800 | Sintokogio Ltd. (Capital Goods) | 286,086 | ||||||
| 894,400 | SKY Perfect JSAT Holdings, Inc. (Media) | 4,432,240 | ||||||
| 62,000 | Sumitomo Bakelite Co. Ltd. (Materials) | 336,703 | ||||||
| 301,900 | Tadano Ltd. (Capital Goods) | 3,390,275 | ||||||
| 119,000 | Taihei Dengyo Kaisha Ltd. (Capital Goods) | 1,233,500 | ||||||
| 110,600 | Tamron Co. Ltd. (Consumer Durables & Apparel) | 1,936,434 | ||||||
| 145,035 | Tatsuta Electric Wire and Cable Co. Ltd. (Capital Goods) | 576,154 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 41 |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
Schedule of Investments (continued)
October 31, 2016
Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Japan – (continued) | ||||||||
| 377,300 | TIS, Inc. (Software & Services) | $ | 8,537,723 | |||||
| 522,100 | Toagosei Co. Ltd. (Materials) | 5,811,223 | ||||||
| 88,000 | Tokai Rika Co. Ltd. (Automobiles & Components) | 1,650,236 | ||||||
| 8,000 | Tokyo Seimitsu Co. Ltd. (Semiconductors & Semiconductor Equipment) | 218,261 | ||||||
| 5,501 | Tokyu REIT, Inc. (REIT) | 7,254,126 | ||||||
| 351,100 | Toppan Forms Co. Ltd. (Commercial & Professional Services) | 3,489,916 | ||||||
| 263,900 | Tosei Corp. (Real Estate) | 1,975,349 | ||||||
| 1,264,000 | Toshiba Machine Co. Ltd. (Capital Goods) | 4,565,081 | ||||||
| 865,000 | Tosoh Corp. (Materials) | 5,648,886 | ||||||
| 590,000 | Tsubakimoto Chain Co. (Capital Goods) | 4,673,668 | ||||||
| 1,540,000 | Ube Industries Ltd. (Materials) | 3,177,927 | ||||||
| 30,900 | Ulvac, Inc. (Semiconductors & Semiconductor Equipment) | 975,637 | ||||||
| 60,300 | Warabeya Nichiyo Co. Ltd. (Food, Beverage & Tobacco) | 1,454,395 | ||||||
| 76,200 | Xebio Holdings Co. Ltd. (Retailing) | 1,182,864 | ||||||
| 419,500 | Yamato Kogyo Co. Ltd. (Materials) | 11,810,907 | ||||||
| 190,900 | Yodogawa Steel Works Ltd. (Materials) | 5,212,084 | ||||||
| 90,100 | Yorozu Corp. (Automobiles & Components) | 1,418,844 | ||||||
| 64,100 | Zenkoku Hosho Co. Ltd. (Diversified Financials) | 2,755,969 | ||||||
|
| |||||||
| 492,365,988 | ||||||||
|
| |||||||
| Luxembourg – 1.4% | ||||||||
| 216,411 | Aperam SA (Materials) | 9,842,119 | ||||||
| 26,110 | Eurofins Scientific SE (Pharmaceuticals, Biotechnology & Life Sciences) | 11,865,591 | ||||||
|
| |||||||
| 21,707,710 | ||||||||
|
| |||||||
| Netherlands – 2.2% | ||||||||
| 248,238 | ASM International NV (Semiconductors & Semiconductor Equipment) | 10,588,707 | ||||||
| 470,909 | BE Semiconductor Industries NV (Semiconductors & Semiconductor Equipment) | 15,340,738 | ||||||
| 227,310 | Corbion NV (Materials) | 5,243,720 | ||||||
| 38,874 | Euronext NV (Diversified Financials)(b) | 1,556,737 | ||||||
| 349,050 | SNS REAAL NV (Diversified Financials)*(a) | — | ||||||
| 39,032 | TKH Group NV CVA (Capital Goods) | 1,502,172 | ||||||
|
| |||||||
| 34,232,074 | ||||||||
|
| |||||||
| New Zealand – 0.2% | ||||||||
| 1,074,719 | Trade Me Group Ltd. (Retailing) | 3,733,365 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Norway – 2.1% | ||||||||
| 140,261 | Aker BP ASA (Energy)* | 2,244,405 | ||||||
| 709,490 | Aker Solutions ASA (Energy)* | 3,254,263 | ||||||
| 330,234 | Austevoll Seafood ASA (Food, Beverage & Tobacco) | 2,977,396 | ||||||
| 224,650 | Borregaard ASA (Materials) | 2,201,975 | ||||||
| 154,270 | Petroleum Geo-Services ASA (Energy)*(a) | 414,124 | ||||||
| 446,127 | Salmar ASA (Food, Beverage & Tobacco) | 14,477,569 | ||||||
| 204,334 | SpareBank 1 SMN (Banks) | 1,502,392 | ||||||
| 215,429 | Storebrand ASA (Insurance)* | 1,107,980 | ||||||
| 155,756 | TGS Nopec Geophysical Co. ASA (Energy) | 3,150,525 | ||||||
|
| |||||||
| 31,330,629 | ||||||||
|
| |||||||
| Portugal – 0.2% | ||||||||
| 858,677 | Altri SGPS SA (Materials) | 2,992,026 | ||||||
|
| |||||||
| Singapore – 1.1% | ||||||||
| 785,000 | Indofood Agri Resources Ltd. (Food, Beverage & Tobacco) | 270,494 | ||||||
| 829,900 | Mapletree Greater China Commercial Trust (REIT) | 620,760 | ||||||
| 1,155,000 | United Engineers Ltd. (Capital Goods) | 2,149,288 | ||||||
| 1,183,500 | Venture Corp. Ltd. (Technology Hardware & Equipment) | 8,084,724 | ||||||
| 681,800 | Wing Tai Holdings Ltd. (Real Estate) | 830,653 | ||||||
| 4,362,210 | Yanlord Land Group Ltd. (Real Estate) | 4,340,948 | ||||||
|
| |||||||
| 16,296,867 | ||||||||
|
| |||||||
| Spain – 2.0% | ||||||||
| 206,358 | CIE Automotive SA (Automobiles & Components) | 4,248,253 | ||||||
| 6,399 | Construcciones y Auxiliar de Ferrocarriles SA (Capital Goods) | 2,411,512 | ||||||
| 439,115 | Ebro Foods SA (Food, Beverage & Tobacco) | 9,468,784 | ||||||
| 184,237 | Faes Farma SA (Pharmaceuticals, Biotechnology & Life Sciences) | 676,348 | ||||||
| 205,703 | Gamesa Corp. Tecnologica SA (Capital Goods) | 4,749,359 | ||||||
| 130,319 | Lar Espana Real Estate Socimi SA (REIT) | 935,323 | ||||||
| 30,191 | Let’s GOWEX SA (Telecommunication Services)*(a) | — | ||||||
| 8,645 | Miquel y Costas & Miquel SA (Materials) | 367,126 | ||||||
| 88,715 | Papeles y Cartones de Europa SA (Materials) | 462,769 | ||||||
| 884,596 | Prosegur Cia de Seguridad SA (Commercial & Professional Services) | 6,414,384 | ||||||
| 30,753 | Tecnicas Reunidas SA (Energy) | 1,150,658 | ||||||
|
| |||||||
| 30,884,516 | ||||||||
|
| |||||||
| 42 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Sweden – 2.1% | ||||||||
| 19,951 | Bilia AB (Retailing) | $ | 475,709 | |||||
| 83,128 | Bure Equity AB (Diversified Financials) | 910,810 | ||||||
| 84,601 | Dios Fastigheter AB (Real Estate) | 563,392 | ||||||
| 9,620 | Fabege AB (Real Estate) | 162,476 | ||||||
| 109,060 | Fastighets AB Balder Class B (Real Estate)* | 2,477,135 | ||||||
| 520,293 | Granges AB (Materials) | 5,055,966 | ||||||
| 21,292 | Indutrade AB (Capital Goods) | 396,040 | ||||||
| 289,603 | Inwido AB (Capital Goods) | 3,164,784 | ||||||
| 755,590 | Klovern AB Class B (Real Estate) | 797,065 | ||||||
| 138,770 | Kungsleden AB (Real Estate) | 874,990 | ||||||
| 223,770 | Loomis AB Class B (Commercial & Professional Services) | 6,360,735 | ||||||
| 75,280 | NCC AB Class B (Capital Goods) | 1,913,016 | ||||||
| 84,017 | Peab AB (Capital Goods) | 712,551 | ||||||
| 103,825 | Saab AB Class B (Capital Goods) | 3,677,237 | ||||||
| 23,954 | Vitrolife AB (Pharmaceuticals, Biotechnology & Life Sciences) | 1,239,250 | ||||||
| 172,502 | Wihlborgs Fastigheter AB (Real Estate) | 3,343,488 | ||||||
|
| |||||||
| 32,124,644 | ||||||||
|
| |||||||
| Switzerland – 5.7% | ||||||||
| 42,240 | Ascom Holding AG (Registered) (Technology Hardware & Equipment) | 723,312 | ||||||
| 4,282 | Autoneum Holding AG (Automobiles & Components) | 1,133,097 | ||||||
| 11,795 | Bobst Group SA (Registered) (Capital Goods) | 649,616 | ||||||
| 142,497 | Cembra Money Bank AG (Diversified Financials)* | 10,891,418 | ||||||
| 9,865 | Daetwyler Holding AG (Capital Goods) | 1,351,408 | ||||||
| 12,653 | dorma+kaba Holding AG (Registered) Class B (Commercial & Professional Services)* | 8,792,360 | ||||||
| 4,076 | Emmi AG (Registered) (Food, Beverage & Tobacco)* | 2,407,817 | ||||||
| 6,824 | Forbo Holding AG (Registered) (Consumer Durables & Apparel)* | 8,699,073 | ||||||
| 21,667 | Georg Fischer AG (Registered) (Capital Goods) | 19,209,883 | ||||||
| 2,693 | Implenia AG (Registered) (Capital Goods) | 180,364 | ||||||
| 20,836 | Kardex AG (Registered) (Capital Goods)* | 1,783,975 | ||||||
| 11,339 | Komax Holding AG (Registered) (Capital Goods) | 2,730,604 | ||||||
| 221,169 | Logitech International SA (Registered) (Technology Hardware & Equipment) | 5,349,305 | ||||||
| 23,742 | Mobimo Holding AG (Registered) (Real Estate)* | 5,712,752 | ||||||
| 16,255 | Rieter Holding AG (Registered) (Capital Goods)* | 3,086,986 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Switzerland – (continued) | ||||||||
| 2,787 | Schweiter Technologies AG (Capital Goods) | 3,002,316 | ||||||
| 38,887 | Tecan AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 6,407,824 | ||||||
| 13,058 | Temenos Group AG (Registered) (Software & Services)* | 843,306 | ||||||
| 21,113 | Valiant Holding AG (Registered) (Banks) | 2,002,380 | ||||||
| 4,996 | Valora Holding AG (Registered) (Retailing) | 1,451,654 | ||||||
| 3,476 | Zehnder Group AG (Capital Goods)* | 144,442 | ||||||
|
| |||||||
| 86,553,892 | ||||||||
|
| |||||||
| United Kingdom – 15.0% | ||||||||
| 605,891 | Abcam plc (Pharmaceuticals, Biotechnology & Life Sciences) | 6,452,258 | ||||||
| 639,077 | Amec Foster Wheeler plc (Energy) | 3,486,748 | ||||||
| 405,060 | Ashmore Group plc (Diversified Financials) | 1,739,554 | ||||||
| 78,736 | ASOS plc (Retailing)* | 5,054,350 | ||||||
| 2,082,424 | Beazley plc (Insurance) | 9,272,150 | ||||||
| 172,598 | Bellway plc (Consumer Durables & Apparel) | 4,994,679 | ||||||
| 550,674 | Berendsen plc (Commercial & Professional Services) | 6,498,546 | ||||||
| 29,146 | Big Yellow Group plc (REIT) | 246,587 | ||||||
| 191,048 | Bodycote plc (Capital Goods) | 1,384,599 | ||||||
| 394,699 | Crest Nicholson Holdings plc (Consumer Durables & Apparel) | 1,961,688 | ||||||
| 301,196 | CYBG plc (Banks)*(a) | 995,630 | ||||||
| 2,310,933 | Domino’s Pizza Group plc (Consumer Services) | 9,608,580 | ||||||
| 724,222 | DS Smith plc (Materials) | 3,531,446 | ||||||
| 160,757 | Electrocomponents plc (Technology Hardware & Equipment) | 733,152 | ||||||
| 136,317 | Fenner plc (Capital Goods) | 365,322 | ||||||
| 17,998 | Greggs plc (Food & Staples Retailing) | 210,371 | ||||||
| 383,582 | Halma plc (Technology Hardware & Equipment) | 4,910,581 | ||||||
| 254,821 | Hansteen Holdings plc (REIT) | 335,293 | ||||||
| 327,870 | Hiscox Ltd. (Insurance) | 4,094,049 | ||||||
| 661,167 | Howden Joinery Group plc (Capital Goods) | 3,027,581 | ||||||
| 74,123 | Hunting plc (Energy)* | 455,532 | ||||||
| 1,245,644 | IG Group Holdings plc (Diversified Financials) | 12,578,752 | ||||||
| 388,887 | Inchcape plc (Retailing) | 3,091,930 | ||||||
| 1,463,087 | Informa plc (Media) | 12,036,959 | ||||||
| 1,355,392 | Intermediate Capital Group plc (Diversified Financials) | 10,039,581 | ||||||
| 15,636 | J D Wetherspoon plc (Consumer Services) | 166,505 | ||||||
| 454,398 | JD Sports Fashion plc (Retailing) | 8,448,332 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 43 |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
Schedule of Investments (continued)
October 31, 2016
Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| United Kingdom – (continued) | ||||||||
| 1,654,432 | John Wood Group plc (Energy) | $ | 15,550,284 | |||||
| 777,266 | Jupiter Fund Management plc (Diversified Financials) | 4,098,193 | ||||||
| 3,598,451 | Ladbrokes PLC (Consumer Services) | 5,875,031 | ||||||
| 126,525 | LondonMetric Property plc (REIT) | 230,847 | ||||||
| 478,171 | Micro Focus International plc (Software & Services) | 12,521,159 | ||||||
| 213,753 | National Express Group plc (Transportation) | 960,246 | ||||||
| 403,409 | OneSavings Bank plc (Banks) | 1,431,941 | ||||||
| 1,948,334 | Paragon Group of Cos. plc (The) (Banks) | 7,902,353 | ||||||
| 58,254 | Phoenix Group Holdings (Insurance) | 520,402 | ||||||
| 654,871 | Premier Oil plc (Energy)* | 527,323 | ||||||
| 2,849,848 | QinetiQ Group plc (Capital Goods) | 8,025,581 | ||||||
| 127,426 | Rentokil Initial plc (Commercial & Professional Services) | 355,432 | ||||||
| 1,660,176 | Saga plc (Insurance) | 4,026,918 | ||||||
| 111,493 | Spectris plc (Technology Hardware & Equipment) | 2,791,620 | ||||||
| 290,183 | Spirax-Sarco Engineering plc (Capital Goods) | 15,645,240 | ||||||
| 93,925 | Stobart Group Ltd. (Energy) | 186,529 | ||||||
| 1,515,778 | Subsea 7 SA (Energy)* | 16,968,189 | ||||||
| 712,474 | Synthomer plc (Materials) | 3,116,772 | ||||||
| 2,433,597 | Tritax Big Box REIT plc (REIT) | 4,045,105 | ||||||
| 579,797 | Tullett Prebon plc (Diversified Financials) | 2,519,334 | ||||||
| 214,938 | Virgin Money Holdings UK plc (Banks) | 865,547 | ||||||
| 176,161 | WH Smith plc (Retailing) | 3,170,805 | ||||||
| 76,889 | WS Atkins plc (Commercial & Professional Services) | 1,420,857 | ||||||
|
| |||||||
| 228,476,463 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $1,378,891,009) | $ | 1,477,497,904 | ||||||
|
| |||||||
| Shares | Description | Rate | Value | |||||||||
| Preferred Stock – 0.2% | ||||||||||||
| Germany – 0.2% | ||||||||||||
| 97,127 | | Jungheinrich AG (Capital Goods) | | 0.397 | % | $ | 3,066,500 | |||||
| (Cost $3,057,107) | ||||||||||||
| ||||||||||||
| Units | Description | Expiration Month | Value | |||||||||
| Rights* – 0.0% | ||||||||||||
| Spain – 0.0% | ||||||||||||
| 88,715 | | Papeles y Cartones de Europa SA (Materials) | | 11/16 | $ | 17,822 | ||||||
| ||||||||||||
| United Kingdom – 0.0% | ||||||||||||
| 33,981 | | Phoenix Group Holdings (Insurance) | | 11/16 | 92,336 | |||||||
| ||||||||||||
| TOTAL RIGHTS | ||||||||||||
| (Cost $92,919) | $ | 110,158 | ||||||||||
| ||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE |
| |||||||||||
| (Cost $1,382,041,035) | $ | 1,480,674,562 | ||||||||||
| ||||||||||||
| Shares | Distribution Rate | Value | ||||||
| Securities Lending Reinvestment Vehicle(c)(d) – 0.7% | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||||
| 10,766,363 | 0.295% | $ | 10,766,363 | |||||
| (Cost $10,766,363) | ||||||||
| ||||||||
| TOTAL INVESTMENTS – 97.9% | ||||||||
| (Cost $1,392,807,398) | $ | 1,491,440,925 | ||||||
| ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 2.1% |
| 31,993,278 | ||||||
| ||||||||
| NET ASSETS – 100.0% | $ | 1,523,434,203 | ||||||
| ||||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $2,007,417, which represents approximately 0.1% of net assets as of October 31, 2016. | |
(c) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on October 31, 2016. | |
(d) | Represents an affiliated issuer. | |
| ||
Investment Abbreviations: | ||
CVA | —Dutch Certification | |
REIT | —Real Estate Investment Trust | |
| ||
| 44 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At October 31, 2016, the Fund had the following futures contracts:
| Type | Number of Contracts Long (Short) | Expiration Date | Current Value | Unrealized Gain (Loss) | ||||||||||
EURO STOXX 50 Index | 288 | December 2016 | $ | 9,652,120 | $ | 310,814 | ||||||||
FTSE 100 Index | 56 | December 2016 | 4,749,414 | 193,565 | ||||||||||
Hang Seng Index | 4 | November 2016 | 590,674 | (17,355 | ) | |||||||||
MSCI Singapore Index | 25 | November 2016 | 553,819 | (10,661 | ) | |||||||||
SPI 200 Index | 23 | December 2016 | 2,313,859 | 38,856 | ||||||||||
TSE TOPIX Index | 49 | December 2016 | 6,518,070 | 298,839 | ||||||||||
| TOTAL | $ | 814,058 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | 45 |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Statements of Assets and Liabilities
October 31, 2016
| Emerging Markets Equity Insights Fund | International Equity Insights Fund | International Small Cap Insights Fund | ||||||||||||
| Assets: | ||||||||||||||
Investments in unaffiliated issuers, at value (cost $813,813,725, $606,648,151 and $1,382,041,035)(a) | $ | 910,666,899 | $ | 635,040,713 | $ | 1,480,674,562 | ||||||||
Investments in affiliated issuers, at value (cost $326, $2,004,646 and $0) | 326 | 2,004,646 | — | |||||||||||
Investments in affiliated securities lending reinvestment vehicle, at value which equals cost | 13,186,183 | 440,343 | 10,766,363 | |||||||||||
Cash | 1,353,361 | 10,111,400 | 13,641,729 | |||||||||||
Foreign currencies, at value (cost $1,447,891, $2,492,722 and $25,653,745 ) | 1,450,992 | 2,475,952 | 25,730,370 | |||||||||||
Receivables: | ||||||||||||||
Investments sold | 20,648,070 | — | 23,578,496 | |||||||||||
Fund shares sold | 17,797,150 | 17,601,740 | 3,545,928 | |||||||||||
Collateral on certain derivative contracts(b) | — | — | 1,455,818 | |||||||||||
Dividends | 273,824 | 1,778,212 | 4,722,124 | |||||||||||
Foreign tax reclaims | 138,368 | 1,414,280 | 1,931,811 | |||||||||||
Reimbursement from investment adviser | 18,179 | 55,726 | 124,479 | |||||||||||
Securities lending income | 5,165 | 7,654 | 109,604 | |||||||||||
Other assets | 581 | 54,163 | 12,421 | |||||||||||
| Total assets | 965,539,098 | 670,984,829 | 1,566,293,705 | |||||||||||
| Liabilities: | ||||||||||||||
Variation margin on certain derivative contracts | — | 42,788 | 54,551 | |||||||||||
Payables: | ||||||||||||||
Investments purchased | 31,246,030 | — | 27,399,759 | |||||||||||
Payable upon return of securities loaned | 13,186,183 | 440,343 | 10,766,363 | |||||||||||
Fund shares redeemed | 1,229,088 | 577,289 | 2,872,640 | |||||||||||
Foreign capital gains taxes | 820,477 | — | — | |||||||||||
Management fees | 773,726 | 448,474 | 1,110,026 | |||||||||||
Distribution and Service fees and Transfer Agency fees | 54,038 | 67,246 | 192,249 | |||||||||||
Accrued expenses | 390,358 | 181,818 | 463,914 | |||||||||||
| Total liabilities | 47,699,900 | 1,757,958 | 42,859,502 | |||||||||||
| Net Assets: | ||||||||||||||
Paid-in capital | 896,996,264 | 1,603,649,251 | 1,417,437,131 | |||||||||||
Undistributed net investment income | 7,709,463 | 12,997,068 | 28,521,070 | |||||||||||
Accumulated net realized loss | (83,064,725 | ) | (975,784,118 | ) | (21,849,374 | ) | ||||||||
Net unrealized gain | 96,198,196 | 28,364,670 | 99,325,376 | |||||||||||
| NET ASSETS | $ | 917,839,198 | $ | 669,226,871 | $ | 1,523,434,203 | ||||||||
Net Assets: | ||||||||||||||
Class A | $ | 50,289,182 | $ | 104,735,840 | $ | 242,383,095 | ||||||||
Class C | 1,132,430 | 6,164,178 | 44,642,861 | |||||||||||
Institutional | 852,852,811 | 500,930,429 | 1,118,477,596 | |||||||||||
Service | — | 1,898,214 | — | |||||||||||
Class IR | 2,564,615 | 6,638,979 | 99,364,628 | |||||||||||
Class R | 9,363,068 | 2,151,857 | — | |||||||||||
Class R6 | 1,637,092 | 46,707,374 | 18,566,023 | |||||||||||
Total Net Assets | $ | 917,839,198 | $ | 669,226,871 | $ | 1,523,434,203 | ||||||||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||||||||||||
Class A | 5,890,891 | 9,943,785 | 22,641,839 | |||||||||||
Class C | 134,052 | 597,370 | 4,311,513 | |||||||||||
Institutional | 99,921,840 | 46,282,754 | 104,224,875 | |||||||||||
Service | — | 178,627 | — | |||||||||||
Class IR | 300,817 | 640,634 | 9,300,876 | |||||||||||
Class R | 1,109,465 | 209,034 | — | |||||||||||
Class R6 | 191,826 | 4,318,322 | 1,726,830 | |||||||||||
Net asset value, offering and redemption price per share:(c) | ||||||||||||||
Class A | $8.54 | $10.53 | $10.71 | |||||||||||
Class C | 8.45 | 10.32 | 10.35 | |||||||||||
Institutional | 8.54 | 10.82 | 10.73 | |||||||||||
Service | — | 10.63 | — | |||||||||||
Class IR | 8.53 | 10.36 | 10.68 | |||||||||||
Class R | 8.44 | 10.29 | — | |||||||||||
Class R6 | 8.53 | 10.82 | 10.75 | |||||||||||
| (a) | Includes loaned securities having a market value of $13,125,791, $418,218 and $10,162,453 for the Emerging Markets Equity Insights, International Equity Insights and International Small Cap Insights Funds, respectively. |
| (b) | Includes amount segregated for initial margin and/or collateral on futures transactions of $1,455,818 for the International Small Cap Insights Fund. |
| (c) | Maximum public offering price per share for Class A Shares of the Emerging Markets Equity Insights, International Equity Insights and International Small Cap Insights Funds is $9.04, $11.14 and $11.33, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge assessed on the amount equal to the lesser of the current NAV or the original purchase price of the shares. |
| 46 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Statements of Operations
For the Fiscal Year Ended October 31, 2016
| Emerging Markets Equity Insights Fund | International Equity Insights Fund | International Small Cap Insights | ||||||||||||
| Investment income: | ||||||||||||||
Dividends — unaffiliated issuers (net of foreign taxes withheld of $1,669,725, $2,035,192 and $3,790,613) | $ | 18,710,700 | $ | 20,518,460 | $ | 39,597,258 | ||||||||
Dividends — affiliated issuers | 1,828 | 1,988 | 20,013 | |||||||||||
Securities lending income — affiliated issuer | 144,944 | 366,157 | 1,474,041 | |||||||||||
| Total investment income | 18,857,472 | 20,886,605 | 41,091,312 | |||||||||||
| Expenses: | ||||||||||||||
Management fees | 6,605,446 | 5,781,570 | 12,143,210 | |||||||||||
Custody, accounting and administrative services | 837,453 | 296,900 | 768,801 | |||||||||||
Transfer Agency fees(a) | 339,022 | 408,546 | 1,093,545 | |||||||||||
Distribution and Service fees(a) | 145,139 | 272,299 | 1,020,387 | |||||||||||
Registration fees | 97,834 | 118,663 | 179,468 | |||||||||||
Professional fees | 91,944 | 117,025 | 122,449 | |||||||||||
Printing and mailing costs | 82,882 | 60,829 | 187,977 | |||||||||||
Trustee fees | 21,088 | 21,636 | 22,887 | |||||||||||
Service share fees — Service Plan | — | 4,271 | — | |||||||||||
Service share fees — Shareholder Administration Plan | — | 4,271 | — | |||||||||||
Other | 62,286 | 44,317 | 73,687 | |||||||||||
| Total expenses | 8,283,094 | 7,130,327 | 15,612,411 | |||||||||||
Less — expense reductions | (402,657 | ) | (916,090 | ) | (1,176,173 | ) | ||||||||
| Net expenses | 7,880,437 | 6,214,237 | 14,436,238 | |||||||||||
| NET INVESTMENT INCOME | 10,977,035 | 14,672,368 | 26,655,074 | |||||||||||
| Realized and unrealized gain (loss): | ||||||||||||||
Net realized gain (loss) from: | ||||||||||||||
Investments | (27,144,509 | ) | (11,230,912 | ) | 14,414,129 | |||||||||
Futures contracts | — | 1,317,261 | (1,604,328 | ) | ||||||||||
Foreign currency transactions | (1,045,248 | ) | 901,693 | (1,861,679 | ) | |||||||||
Net change in unrealized gain (loss) on: | ||||||||||||||
Investments (including the effects of the net change in the foreign capital gains tax liability of $701,727, $0 and $0) | 87,112,621 | 8,731,424 | 39,592,319 | |||||||||||
Futures contracts | — | (329,342 | ) | (939,945 | ) | |||||||||
Foreign currency translation | 311,632 | 275,943 | 70,905 | |||||||||||
| Net realized and unrealized gain (loss) | 59,234,496 | (333,933 | ) | 49,671,401 | ||||||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 70,211,531 | $ | 14,338,435 | $ | 76,326,475 | ||||||||
| (a) | Class specific Distribution and Service, and Transfer Agency fees were as follows: |
| Distribution and Service Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||||
Fund | Class A | Class C | Class R | Class A | Class C | Institutional | Service | Class IR | Class R | Class R6 | ||||||||||||||||||||||||||||||
Emerging Markets Equity Insights | $ | 100,672 | $ | 9,970 | $ | 34,497 | $ | 76,512 | $ | 1,894 | $ | 244,091 | $ | — | $ | 3,337 | $ | 13,109 | $ | 79 | ||||||||||||||||||||
International Equity Insights | 214,296 | 52,350 | 5,653 | 162,866 | 9,947 | 227,784 | 683 | 4,265 | — | 3,001 | ||||||||||||||||||||||||||||||
International Small Cap Insights | 579,237 | 441,150 | — | 440,265 | 83,819 | 430,485 | — | 138,206 | — | 770 | ||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 47 |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Statements of Changes in Net Assets
| Emerging Markets Equity Insights Fund | ||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||
| From operations: | ||||||||||
Net investment income | $ | 10,977,035 | $ | 10,586,672 | ||||||
Net realized gain (loss) | (28,189,757 | ) | (53,580,965 | ) | ||||||
Net change in unrealized gain (loss) | 87,424,253 | (25,465,209 | ) | |||||||
| Net increase (decrease) in net assets resulting from operations | 70,211,531 | (68,459,502 | ) | |||||||
| Distributions to shareholders: | ||||||||||
From net investment income | ||||||||||
Class A Shares | (333,631 | ) | (540,220 | ) | ||||||
Class C Shares | (1,954 | ) | (4,206 | ) | ||||||
Institutional Shares | (5,711,198 | ) | (11,716,286 | ) | ||||||
Service Shares | — | — | ||||||||
Class IR Shares | (13,689 | ) | (11,352 | ) | ||||||
Class R Shares | (42,141 | ) | (21,187 | ) | ||||||
Class R6 Shares | (121 | ) | — | |||||||
From net realized gains | ||||||||||
Class A Shares | — | (300,785 | ) | |||||||
Class C Shares | — | (6,674 | ) | |||||||
Institutional Shares | — | (5,218,737 | ) | |||||||
Class IR Shares | — | (5,790 | ) | |||||||
Class R Shares | — | (10,409 | ) | |||||||
| Total distributions to shareholders | (6,102,734 | )�� | (17,835,646 | ) | ||||||
| From share transactions: | ||||||||||
Proceeds from sales of shares | 653,208,809 | 233,575,432 | ||||||||
Proceeds received in connection with merger | — | — | ||||||||
Reinvestment of distributions | 6,068,453 | 17,524,245 | ||||||||
Cost of shares redeemed | (357,946,313 | ) | (314,048,730 | ) | ||||||
| Net increase (decrease) in net assets resulting from share transactions | 301,330,949 | (62,949,053 | ) | |||||||
| TOTAL INCREASE (DECREASE) | 365,439,746 | (149,244,201 | ) | |||||||
| Net assets: | ||||||||||
Beginning of year | 552,399,452 | 701,643,653 | ||||||||
End of year | $ | 917,839,198 | $ | 552,399,452 | ||||||
| Undistributed net investment income | $ | 7,709,463 | $ | 4,369,172 | ||||||
| 48 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
| International Equity Insights Fund | International Small Cap Insights Fund | |||||||||||||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||||||||||||
| $ | 14,672,368 | $ | 15,346,268 | $ | 26,655,074 | $ | 17,665,996 | |||||||||||||||
| (9,011,958 | ) | (20,975,277 | ) | 10,948,122 | (6,256,157 | ) | ||||||||||||||||
| 8,678,025 | 22,207,615 | 38,723,279 | 39,964,817 | |||||||||||||||||||
| 14,338,435 | 16,578,606 | 76,326,475 | 51,374,656 | |||||||||||||||||||
| (836,569 | ) | (3,035,885 | ) | (2,985,588 | ) | (2,355,924 | ) | |||||||||||||||
| (29,349 | ) | (98,011 | ) | (363,016 | ) | (229,064 | ) | |||||||||||||||
| (8,419,997 | ) | (29,792,716 | ) | (15,775,913 | ) | (13,054,172 | ) | |||||||||||||||
| (16,104 | ) | (85,003 | ) | — | — | |||||||||||||||||
| (17,727 | ) | (11,495 | ) | (847,395 | ) | (400,411 | ) | |||||||||||||||
| (3,210 | ) | (6,273 | ) | — | — | |||||||||||||||||
| (139 | ) | — | (3,693 | ) | — | |||||||||||||||||
| — | — | — | (1,419,007 | ) | ||||||||||||||||||
| — | — | — | (191,500 | ) | ||||||||||||||||||
| — | — | — | (6,378,743 | ) | ||||||||||||||||||
| — | — | — | (208,754 | ) | ||||||||||||||||||
| — | — | — | — | |||||||||||||||||||
| (9,323,095 | ) | (33,029,383 | ) | (19,975,605 | ) | (24,237,575 | ) | |||||||||||||||
| 380,362,678 | 204,211,026 | 709,014,544 | 618,521,766 | |||||||||||||||||||
| — | — | 124,455,593 | — | |||||||||||||||||||
| 9,272,014 | 32,820,575 | 17,136,594 | 20,405,481 | |||||||||||||||||||
| (454,334,903 | ) | (320,374,840 | ) | (555,338,791 | ) | (345,845,914 | ) | |||||||||||||||
| (64,700,211 | ) | (83,343,239 | ) | 295,267,940 | 293,081,333 | |||||||||||||||||
| (59,684,871 | ) | (99,794,016 | ) | 351,618,810 | 320,218,414 | |||||||||||||||||
| 728,911,742 | 828,705,758 | 1,171,815,393 | 851,596,979 | |||||||||||||||||||
| $ | 669,226,871 | $ | 728,911,742 | $ | 1,523,434,203 | $ | 1,171,815,393 | |||||||||||||||
| $ | 12,997,068 | $ | 6,038,423 | $ | 28,521,070 | $ | 12,828,454 | |||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 49 |
GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||
| Year - Share Class | Net asset value, beginning of year | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | Total distributions | |||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||
2016 - A | $ | 7.92 | $ | 0.10 | $ | 0.59 | $ | 0.69 | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | ||||||||||||||
2016 - C | 7.84 | 0.04 | 0.58 | 0.62 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||
2016 - Institutional | 7.91 | 0.13 | 0.60 | 0.73 | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||||||
2016 - IR | 7.91 | 0.12 | 0.59 | 0.71 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||||
2016 - R | 7.84 | 0.08 | 0.59 | 0.67 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||
2016 - R6 | 7.91 | 0.10 | 0.62 | 0.72 | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||||||
2015 - A | 8.99 | 0.11 | (0.98 | ) | (0.87 | ) | (0.13 | ) | (0.07 | ) | (0.20 | ) | ||||||||||||||||||
2015 - C | 8.88 | 0.05 | (0.98 | ) | (0.93 | ) | (0.04 | ) | (0.07 | ) | (0.11 | ) | ||||||||||||||||||
2015 - Institutional | 8.98 | 0.14 | (0.98 | ) | (0.84 | ) | (0.16 | ) | (0.07 | ) | (0.23 | ) | ||||||||||||||||||
2015 - IR | 8.97 | 0.14 | (0.99 | ) | (0.85 | ) | (0.14 | ) | (0.07 | ) | (0.21 | ) | ||||||||||||||||||
2015 - R | 8.94 | 0.09 | (0.98 | ) | (0.89 | ) | (0.14 | ) | (0.07 | ) | (0.21 | ) | ||||||||||||||||||
2015 - R6 (Commenced July 31, 2015) | 8.40 | 0.01 | (0.50 | ) | (0.49 | ) | — | — | — | |||||||||||||||||||||
2014 - A | 8.95 | 0.14 | (0.02 | ) | 0.12 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||||
2014 - C | 8.90 | 0.07 | (0.01 | ) | 0.06 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||||
2014 - Institutional | 8.95 | 0.17 | (0.02 | ) | 0.15 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||||
2014 - IR | 8.94 | 0.13 | 0.02 | 0.15 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||||
2014 - R (Commenced February 28, 2014) | 8.26 | 0.02 | 0.66 | 0.68 | — | — | — | |||||||||||||||||||||||
2013 - A | 8.40 | 0.07 | 0.60 | 0.67 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||||
2013 - C | 8.36 | 0.04 | 0.55 | 0.59 | (0.05 | ) | — | (0.05 | ) | |||||||||||||||||||||
2013 - Institutional | 8.40 | 0.16 | 0.53 | 0.69 | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||||||
2013 - IR | 8.39 | 0.14 | 0.54 | 0.68 | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||||||
2012 - A | 8.08 | 0.13 | 0.28 | 0.41 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||||
2012 - C | 8.00 | 0.08 | 0.28 | 0.36 | — | — | — | |||||||||||||||||||||||
2012 - Institutional | 8.12 | 0.16 | 0.28 | 0.44 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||||
2012 - IR | 8.11 | 0.25 | 0.18 | 0.43 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (d) | Annualized. |
| 50 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND
| Net asset value, end of year | Total return(b) | Net assets, end of year (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income to average net assets | Portfolio turnover rate(C) | ||||||||||||||||||||||||||||||||||
| $ | 8.54 | 8.79 | % | $ | 50,289 | 1.56 | % | 1.63 | % | 1.24 | % | 216 | % | |||||||||||||||||||||||||||
| 8.45 | 7.97 | 1,132 | 2.31 | 2.39 | 0.47 | 216 | ||||||||||||||||||||||||||||||||||
| 8.54 | 9.35 | 852,853 | 1.16 | 1.22 | 1.70 | 216 | ||||||||||||||||||||||||||||||||||
| 8.53 | 9.13 | 2,565 | 1.31 | 1.37 | 1.53 | �� | 216 | |||||||||||||||||||||||||||||||||
| 8.44 | 8.57 | 9,363 | 1.81 | 1.88 | 1.01 | 216 | ||||||||||||||||||||||||||||||||||
| 8.53 | 9.27 | 1,637 | 1.13 | 1.16 | 1.26 | 216 | ||||||||||||||||||||||||||||||||||
| 7.92 | (9.84 | ) | 37,307 | 1.58 | 1.67 | 1.30 | 199 | |||||||||||||||||||||||||||||||||
| 7.84 | (10.50 | ) | 1,053 | 2.33 | 2.42 | 0.60 | 199 | |||||||||||||||||||||||||||||||||
| 7.91 | (9.52 | ) | 508,685 | 1.18 | 1.27 | 1.69 | 199 | |||||||||||||||||||||||||||||||||
| 7.91 | (9.63 | ) | 798 | 1.33 | 1.42 | 1.63 | 199 | |||||||||||||||||||||||||||||||||
| 7.84 | (10.06 | ) | 4,547 | 1.83 | 1.93 | 1.10 | 199 | |||||||||||||||||||||||||||||||||
| 7.91 | (5.83 | ) | 9 | 1.17 | (d) | 1.28 | (d) | 0.59 | (d) | 199 | ||||||||||||||||||||||||||||||
| 8.99 | 1.38 | 37,905 | 1.58 | 1.66 | 1.59 | 180 | ||||||||||||||||||||||||||||||||||
| 8.88 | 0.66 | 944 | 2.33 | 2.41 | 0.80 | 180 | ||||||||||||||||||||||||||||||||||
| 8.98 | 1.65 | 660,922 | 1.18 | 1.26 | 1.95 | 180 | ||||||||||||||||||||||||||||||||||
| 8.97 | 1.70 | 875 | 1.34 | 1.39 | 1.47 | 180 | ||||||||||||||||||||||||||||||||||
| 8.94 | 8.23 | 998 | 1.82 | (d) | 2.07 | (d) | 0.31 | (d) | 180 | |||||||||||||||||||||||||||||||
| 8.95 | 8.00 | 24,758 | 1.52 | 1.65 | 0.82 | 249 | ||||||||||||||||||||||||||||||||||
| 8.90 | 7.02 | 989 | 2.31 | 2.48 | 0.51 | 249 | ||||||||||||||||||||||||||||||||||
| 8.95 | 8.41 | 556,434 | 1.14 | 1.27 | 1.87 | 249 | ||||||||||||||||||||||||||||||||||
| 8.94 | 8.16 | 1,649 | 1.32 | 1.50 | 1.59 | 249 | ||||||||||||||||||||||||||||||||||
| 8.40 | 5.26 | 50,760 | 1.45 | 1.69 | 1.58 | 180 | ||||||||||||||||||||||||||||||||||
| 8.36 | 4.49 | 228 | 2.20 | 2.46 | 0.97 | 180 | ||||||||||||||||||||||||||||||||||
| 8.40 | 5.68 | 464,180 | 1.05 | 1.30 | 1.98 | 180 | ||||||||||||||||||||||||||||||||||
| 8.39 | 5.48 | 118 | 1.20 | 1.41 | 3.06 | 180 | ||||||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 51 |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from investment operations | ||||||||||||||||||||||
| Year - Share Class | Net asset value, beginning of year | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions to shareholders from net investment income | |||||||||||||||||
| FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||
2016 - A | $ | 10.54 | $ | 0.18 | $ | (0.08 | ) | $ | 0.10 | $ | (0.11 | ) | ||||||||||
2016 - C | 10.36 | 0.10 | (0.08 | ) | 0.02 | (0.06 | ) | |||||||||||||||
2016 - Institutional | 10.83 | 0.24 | (0.10 | ) | 0.14 | (0.15 | ) | |||||||||||||||
2016 - Service | 10.64 | 0.17 | (0.08 | ) | 0.09 | (0.10 | ) | |||||||||||||||
2016 - IR | 10.38 | 0.17 | (0.05 | ) | 0.12 | (0.14 | ) | |||||||||||||||
2016 - R | 10.34 | 0.13 | (0.06 | ) | 0.07 | (0.12 | ) | |||||||||||||||
2016 - R6 | 10.83 | 0.14 | 0.01 | 0.15 | (0.16 | ) | ||||||||||||||||
2015 - A | 10.69 | 0.18 | 0.08 | 0.26 | (0.41 | ) | ||||||||||||||||
2015 - C | 10.51 | 0.10 | 0.08 | 0.18 | (0.33 | ) | ||||||||||||||||
2015 - Institutional | 10.97 | 0.22 | 0.09 | 0.31 | (0.45 | ) | ||||||||||||||||
2015 - Service | 10.76 | 0.16 | 0.09 | 0.25 | (0.37 | ) | ||||||||||||||||
2015 - IR | 10.53 | 0.16 | 0.12 | 0.28 | (0.43 | ) | ||||||||||||||||
2015 - R | 10.52 | 0.14 | 0.09 | 0.23 | (0.41 | ) | ||||||||||||||||
2015 - R6 (Commenced July 31, 2015) | 11.23 | 0.04 | (0.44 | ) | (0.40 | ) | — | |||||||||||||||
2014 - A | 10.99 | 0.37 | (e) | (0.39 | ) | (0.02 | ) | (0.28 | ) | |||||||||||||
2014 - C | 10.83 | 0.28 | (e) | (0.37 | ) | (0.09 | ) | (0.23 | ) | |||||||||||||
2014 - Institutional | 11.29 | 0.42 | (e) | (0.40 | ) | 0.02 | (0.34 | ) | ||||||||||||||
2014 - Service | 11.06 | 0.35 | (e) | (0.37 | ) | (0.02 | ) | (0.28 | ) | |||||||||||||
2014 - IR | 10.86 | 0.38 | (e) | (0.38 | ) | — | (f) | (0.33 | ) | |||||||||||||
2014 - R | 10.85 | 0.34 | (e) | (0.38 | ) | (0.04 | ) | (0.29 | ) | |||||||||||||
2013 - A | 9.00 | 0.19 | 2.11 | 2.30 | (0.31 | ) | ||||||||||||||||
2013 - C | 8.87 | 0.16 | 2.04 | 2.20 | (0.24 | ) | ||||||||||||||||
2013 - Institutional | 9.25 | 0.30 | 2.09 | 2.39 | (0.35 | ) | ||||||||||||||||
2013 - Service | 9.06 | 0.22 | 2.08 | 2.30 | (0.30 | ) | ||||||||||||||||
2013 - IR | 8.91 | 0.22 | 2.08 | 2.30 | (0.35 | ) | ||||||||||||||||
2013 - R | 8.88 | 0.21 | 2.04 | 2.25 | (0.28 | ) | ||||||||||||||||
2012 - A | 9.02 | 0.19 | 0.21 | 0.40 | (0.42 | ) | ||||||||||||||||
2012 - C | 8.89 | 0.13 | 0.20 | 0.33 | (0.35 | ) | ||||||||||||||||
2012 - Institutional | 9.27 | 0.24 | 0.21 | 0.45 | (0.47 | ) | ||||||||||||||||
2012 - Service | 9.08 | 0.18 | 0.21 | 0.39 | (0.41 | ) | ||||||||||||||||
2012 - IR | 8.97 | 0.20 | 0.21 | 0.41 | (0.47 | ) | ||||||||||||||||
2012 - R | 8.93 | 0.17 | 0.20 | 0.37 | (0.42 | ) | ||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (d) | Annualized. |
| (e) | Reflects income recognized from a corporate action which amounted to $0.13 per share and 1.18% of average net assets. |
| (f) | Amount is less than $0.005 per share. |
| 52 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND
| Net asset value, end of year | Total return(b) | Net assets, end of year (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income to average net assets | Portfolio turnover rate(c) | ||||||||||||||||||||||||||||||||||
| $ | 10.53 | 0.97 | % | $ | 104,736 | 1.25 | % | 1.39 | % | 1.77 | % | 176 | % | |||||||||||||||||||||||||||
| 10.32 | 0.22 | 6,164 | 2.00 | 2.14 | 1.02 | 176 | ||||||||||||||||||||||||||||||||||
| 10.82 | 1.34 | 500,930 | 0.85 | 0.99 | 2.25 | 176 | ||||||||||||||||||||||||||||||||||
| 10.63 | 0.87 | 1,898 | 1.35 | 1.49 | 1.60 | 176 | ||||||||||||||||||||||||||||||||||
| 10.36 | 1.22 | 6,639 | 1.00 | 1.14 | 1.65 | 176 | ||||||||||||||||||||||||||||||||||
| 10.29 | 0.67 | 2,152 | 1.50 | 1.64 | 1.28 | 176 | ||||||||||||||||||||||||||||||||||
| 10.82 | 1.37 | 46,707 | 0.83 | 0.96 | 1.32 | 176 | ||||||||||||||||||||||||||||||||||
| 10.54 | 2.58 | 78,527 | 1.27 | 1.37 | 1.70 | 154 | ||||||||||||||||||||||||||||||||||
| 10.36 | 1.82 | 4,409 | 2.01 | 2.12 | 0.93 | 154 | ||||||||||||||||||||||||||||||||||
| 10.83 | 3.05 | 642,473 | 0.87 | 0.97 | 2.08 | 154 | ||||||||||||||||||||||||||||||||||
| 10.64 | 2.48 | 1,641 | 1.37 | 1.47 | 1.51 | 154 | ||||||||||||||||||||||||||||||||||
| 10.38 | 2.85 | 1,666 | 1.01 | 1.13 | 1.54 | 154 | ||||||||||||||||||||||||||||||||||
| 10.34 | 2.32 | 186 | 1.52 | 1.62 | 1.33 | 154 | ||||||||||||||||||||||||||||||||||
| 10.83 | (3.56 | ) | 10 | 0.84 | (d) | 0.93 | (d) | 1.56 | (d) | 154 | ||||||||||||||||||||||||||||||
| 10.69 | (0.14 | ) | 79,214 | 1.29 | 1.36 | 3.31 | (e) | 142 | ||||||||||||||||||||||||||||||||
| 10.51 | (0.85 | ) | 3,054 | 2.04 | 2.11 | 2.61 | (e) | 142 | ||||||||||||||||||||||||||||||||
| 10.97 | 0.22 | 742,016 | 0.89 | 0.96 | 3.74 | (e) | 142 | |||||||||||||||||||||||||||||||||
| 10.76 | (0.17 | ) | 2,779 | 1.39 | 1.45 | 3.17 | (e) | 142 | ||||||||||||||||||||||||||||||||
| 10.53 | 0.12 | 278 | 1.04 | 1.10 | 3.52 | (e) | 142 | |||||||||||||||||||||||||||||||||
| 10.52 | (0.33 | ) | 161 | 1.54 | 1.61 | 3.09 | (e) | 142 | ||||||||||||||||||||||||||||||||
| 10.99 | 26.31 | 92,919 | 1.29 | 1.37 | 1.98 | 189 | ||||||||||||||||||||||||||||||||||
| 10.83 | 25.33 | 3,166 | 2.04 | 2.11 | 1.61 | 189 | ||||||||||||||||||||||||||||||||||
| 11.29 | 26.71 | 945,546 | 0.89 | 0.96 | 2.99 | 189 | ||||||||||||||||||||||||||||||||||
| 11.06 | 26.13 | 6,237 | 1.39 | 1.46 | 2.25 | 189 | ||||||||||||||||||||||||||||||||||
| 10.86 | 26.55 | 468 | 1.04 | 1.11 | 2.22 | 189 | ||||||||||||||||||||||||||||||||||
| 10.85 | 25.99 | 95 | 1.54 | 1.61 | 2.14 | 189 | ||||||||||||||||||||||||||||||||||
| 9.00 | 4.94 | 210,612 | 1.28 | 1.37 | 2.21 | 203 | ||||||||||||||||||||||||||||||||||
| 8.87 | 4.10 | 3,087 | 2.04 | 2.12 | 1.48 | 203 | ||||||||||||||||||||||||||||||||||
| 9.25 | 5.47 | 596,986 | 0.88 | 0.97 | 2.69 | 203 | ||||||||||||||||||||||||||||||||||
| 9.06 | 4.77 | 7,945 | 1.38 | 1.47 | 2.09 | 203 | ||||||||||||||||||||||||||||||||||
| 8.91 | 5.16 | 65 | 1.04 | 1.11 | 2.33 | 203 | ||||||||||||||||||||||||||||||||||
| 8.88 | 4.69 | 71 | 1.53 | 1.62 | 1.98 | 203 | ||||||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 53 |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| Income (loss) from investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||
| Year - Share Class | Net asset | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | Total distributions | |||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||
2016 - A | $ | 10.42 | $ | 0.16 | $ | 0.27 | $ | 0.43 | $ | (0.14 | ) | $ | — | $ | (0.14 | ) | ||||||||||||||
2016 - C | 10.11 | 0.08 | 0.25 | 0.33 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||||
2016 - Institutional | 10.44 | 0.21 | 0.26 | 0.47 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||||
2016 - IR | 10.40 | 0.19 | 0.26 | 0.45 | (0.17 | ) | — | (0.17 | ) | |||||||||||||||||||||
2016 - R6 | 10.44 | 0.26 | 0.23 | 0.49 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||||
2015 - A | 10.03 | 0.16 | 0.49 | 0.65 | (0.16 | ) | (0.10 | ) | (0.26 | ) | ||||||||||||||||||||
2015 - C | 9.76 | 0.08 | 0.49 | 0.57 | (0.12 | ) | (0.10 | ) | (0.22 | ) | ||||||||||||||||||||
2015 - Institutional | 10.05 | 0.20 | 0.49 | 0.69 | (0.20 | ) | (0.10 | ) | (0.30 | ) | ||||||||||||||||||||
2015 - IR | 10.01 | 0.19 | 0.49 | 0.68 | (0.19 | ) | (0.10 | ) | (0.29 | ) | ||||||||||||||||||||
2015 - R6 (Commenced July 31, 2015) | 10.75 | 0.05 | (0.36 | ) | (0.31 | ) | — | — | — | |||||||||||||||||||||
2014 - A | 10.62 | 0.14 | (0.34 | ) | (0.20 | ) | (0.32 | ) | (0.07 | ) | (0.39 | ) | ||||||||||||||||||
2014 - C | 10.40 | 0.06 | (0.33 | ) | (0.27 | ) | (0.30 | ) | (0.07 | ) | (0.37 | ) | ||||||||||||||||||
2014 - Institutional | 10.62 | 0.17 | (0.33 | ) | (0.16 | ) | (0.34 | ) | (0.07 | ) | (0.41 | ) | ||||||||||||||||||
2014 - IR | 10.59 | 0.18 | (0.35 | ) | (0.17 | ) | (0.34 | ) | (0.07 | ) | (0.41 | ) | ||||||||||||||||||
2013 - A | 8.29 | 0.23 | 2.49 | 2.72 | (0.39 | ) | — | (0.39 | ) | |||||||||||||||||||||
2013 - C | 8.13 | 0.14 | 2.47 | 2.61 | (0.34 | ) | — | (0.34 | ) | |||||||||||||||||||||
2013 - Institutional | 8.30 | 0.26 | 2.50 | 2.76 | (0.44 | ) | — | (0.44 | ) | |||||||||||||||||||||
2013 - IR | 8.28 | 0.22 | 2.52 | 2.74 | (0.43 | ) | — | (0.43 | ) | |||||||||||||||||||||
2012 - A | 7.92 | 0.17 | 0.38 | 0.55 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||||
2012 - C | 7.79 | 0.11 | 0.38 | 0.49 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||||
2012 - Institutional | 7.94 | 0.20 | 0.38 | 0.58 | (0.22 | ) | — | (0.22 | ) | |||||||||||||||||||||
2012 - IR | 7.93 | 0.16 | 0.40 | 0.56 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (d) | Annualized. |
| 54 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
| Net asset value, end of year | Total return(b) | Net assets, end of year (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income to average net assets | Portfolio turnover rate(c) | ||||||||||||||||||||||||||||||||||
| $ | 10.71 | 4.17 | % | $ | 242,383 | 1.30 | % | 1.39 | % | 1.55 | % | 140 | % | |||||||||||||||||||||||||||
| 10.35 | 3.27 | 44,643 | 2.05 | 2.14 | 0.83 | 140 | ||||||||||||||||||||||||||||||||||
| 10.73 | 4.50 | 1,118,478 | 0.90 | 0.98 | 1.98 | 140 | ||||||||||||||||||||||||||||||||||
| 10.68 | 4.33 | 99,365 | 1.05 | 1.13 | 1.83 | 140 | ||||||||||||||||||||||||||||||||||
| 10.75 | 4.72 | 18,566 | 0.88 | 0.97 | 2.39 | 140 | ||||||||||||||||||||||||||||||||||
| 10.42 | 6.70 | 204,067 | 1.30 | 1.39 | 1.58 | 131 | ||||||||||||||||||||||||||||||||||
| 10.11 | 5.96 | 38,777 | 2.05 | 2.14 | 0.82 | 131 | ||||||||||||||||||||||||||||||||||
| 10.44 | 7.11 | 888,071 | 0.90 | 0.99 | 1.97 | 131 | ||||||||||||||||||||||||||||||||||
| 10.40 | 7.00 | 40,890 | 1.05 | 1.14 | 1.83 | 131 | ||||||||||||||||||||||||||||||||||
| 10.44 | (2.88 | ) | 10 | 0.90 | (d) | 0.96 | (d) | 1.94 | (d) | 131 | ||||||||||||||||||||||||||||||
| 10.03 | (1.94 | ) | 144,558 | 1.30 | 1.39 | 1.33 | 129 | |||||||||||||||||||||||||||||||||
| 9.76 | (2.71 | ) | 19,158 | 2.05 | 2.15 | 0.57 | 129 | |||||||||||||||||||||||||||||||||
| 10.05 | (1.54 | ) | 668,746 | 0.90 | 0.99 | 1.65 | 129 | |||||||||||||||||||||||||||||||||
| 10.01 | (1.68 | ) | 19,134 | 1.05 | 1.14 | 1.66 | 129 | |||||||||||||||||||||||||||||||||
| 10.62 | 34.41 | 53,564 | 1.30 | 1.48 | 2.52 | 166 | ||||||||||||||||||||||||||||||||||
| 10.40 | 33.40 | 3,514 | 2.05 | 2.24 | 1.53 | 166 | ||||||||||||||||||||||||||||||||||
| 10.62 | 34.96 | 441,964 | 0.90 | 1.07 | 2.85 | 166 | ||||||||||||||||||||||||||||||||||
| 10.59 | 34.77 | 3,605 | 1.05 | 1.26 | 2.28 | 166 | ||||||||||||||||||||||||||||||||||
| 8.29 | 7.32 | 18,914 | 1.30 | 1.51 | 2.13 | 150 | ||||||||||||||||||||||||||||||||||
| 8.13 | 6.56 | 896 | 2.05 | 2.26 | 1.44 | 150 | ||||||||||||||||||||||||||||||||||
| 8.30 | 7.80 | 244,135 | 0.90 | 1.11 | 2.59 | 150 | ||||||||||||||||||||||||||||||||||
| 8.28 | 7.54 | 345 | 1.05 | 1.26 | 2.06 | 150 | ||||||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 55 |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements
October 31, 2016
| 1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
| Fund | Share Classes Offered | Diversified/ Non-diversified | ||
Emerging Markets Equity Insights | A, C, Institutional, IR, R and R6 | Diversified | ||
International Equity Insights | A, C, Institutional, Service, IR, R and R6 | Diversified | ||
International Small Cap Insights | A, C, Institutional, IR and R6 | Diversified |
Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Service, Class IR, Class R and Class R6 Shares are not subject to a sales charge.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to a management agreement (the “Agreement”) with the Trust.
Pursuant to an Agreement and Plan of Reorganization (the “Reorganization Agreement”) approved by the Trust’s Board of Trustees, all of the assets and liabilities of the Goldman Sachs International Small Cap Fund (the “Acquired Fund”) were transferred to the Goldman Sachs International Small Cap Insights Fund (the “Survivor Fund”) as of the close of business on February 5, 2016 (the “Reorganization”). As part of the Reorganization, holders of Class A, Class C, Institutional and Class IR Shares of the Acquired Fund respectively received Class A, Class C, Institutional and Class IR shares of the Survivor Fund, in an amount equal to the aggregate net asset value of his or her investment in the Acquired Fund. Shareholders of Service Shares of the Acquired Fund received Class A Shares of the Survivor Fund, in an amount equal to the aggregate net asset value of his or her investment in the Acquired Fund. The exchange was a tax-free event to shareholders and the Survivor Fund was the accounting survivor in the reorganization.
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.
A. Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income, net of any foreign withholding taxes, less any amounts reclaimable, and securities lending income. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are
56
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees.
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually.
Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. Foreign Currency Translation — The accounting records and reporting currency of the Funds are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statements of Operations within net change in unrealized gain (loss) on foreign currency translations. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Funds’ policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ portfolio investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly
57
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities are valued at the last bid price for long positions and at the last ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
Underlying Funds (including Money Market Funds) — Underlying Funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share of the Institutional Share class on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Funds invest in Underlying Funds that fluctuate in value, the Funds’ shares will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Funds enter into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers.
Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or settlement price and typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial
58
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Funds’ investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.
C. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of October 31, 2016:
| EMERGING MARKETS EQUITY INSIGHTS | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Africa | $ | — | $ | 42,629,335 | $ | — | ||||||
Asia | 99,572,396 | 606,730,848 | — | |||||||||
Europe | 5,599,722 | 4,726,518 | — | |||||||||
North America | 30,645,426 | — | — | |||||||||
South America | 71,024,748 | 19,765,048 | — | |||||||||
Exchange Traded Fund | 29,972,858 | — | — | |||||||||
Investment Company | 326 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 13,186,183 | — | — | |||||||||
| Total | $ | 250,001,659 | $ | 673,851,749 | $ | — | ||||||
| INTERNATIONAL EQUITY INSIGHTS | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | 125,228 | $ | 168,255,251 | $ | — | ||||||
Australia and Oceania | — | 40,709,580 | — | |||||||||
Europe | 20,848,713 | 405,101,941 | — | |||||||||
Investment Company | 2,004,646 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 440,343 | — | — | |||||||||
| Total | $ | 23,418,930 | $ | 614,066,772 | $ | — | ||||||
59
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| INTERNATIONAL EQUITY INSIGHTS (continued) | ||||||||||||
| Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets(b) | ||||||||||||
Futures Contracts | $ | 132,687 | $ | — | $ | — | ||||||
| Liabilities(b) | ||||||||||||
Futures Contracts | $ | (37,903 | ) | $ | — | $ | — | |||||
| INTERNATIONAL SMALL CAP INSIGHTS | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | — | $ | 542,972,272 | $ | — | ||||||
Australia and Oceania | — | 126,955,747 | — | |||||||||
Europe | — | 810,746,543 | — | |||||||||
Securities Lending Reinvestment Vehicle | 10,766,363 | — | — | |||||||||
| Total | $ | 10,766,363 | $ | 1,480,674,562 | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets(b) | ||||||||||||
Futures Contracts | $ | 842,074 | $ | — | $ | — | ||||||
| Derivative Type | ||||||||||||
| Liabilities(b) | ||||||||||||
Futures Contracts | $ | (28,016 | ) | $ | — | $ | — | |||||
| (a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile noted in the table. The Funds utilize fair value model prices provided by an independent fair value service for certain international equity securities, resulting in a Level 2 classification. |
| (b) | Amount shown represents unrealized gain (loss) at fiscal year end. |
For further information regarding security characteristics, see the Schedules of Investments.
The following is a reconciliation of Level 3 investments for the fiscal year ended October 31, 2016:
| Emerging Markets Equity Insights | Common Stock and/or Other Equity Investments | |||
Beginning Balance as of October 31, 2015 | $ | 6,714,232 | ||
Realized gain (loss) | (2,526,096 | ) | ||
Net Change in unrealized gain (loss) relating to instruments held at reporting date | (443,853 | ) | ||
Sales | (3,744,283 | ) | ||
Ending Balance as of October 31, 2016 | $ | — | ||
60
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
| 4. INVESTMENTS IN DERIVATIVES |
The following table sets forth, by certain risk types, the gross value of derivative contracts as of October 31, 2016. These instruments were used as part of the Funds’ investment strategies and to obtain and/or manage exposure related to the risks below. The values in the table below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure:
| Fund | Risk | Statements of Assets and Liabilities | Assets(a) | Statements of Assets and Liabilities | Liabilities(a) | |||||
International Equity Insights | Equity | Receivable for unrealized gain on futures variation margin | $132,687 | Payable for unrealized loss on futures variation margin | $(37,903) | |||||
International Small Cap Insights | Equity | Receivable for unrealized gain on futures variation margin | 842,074 | Payable for unrealized loss on futures variation margin | (28,016) |
| (a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only the variation margin as of October 31, 2016 is reported within the Statements of Assets and Liabilities. |
The following table sets forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended October 31, 2016. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:
| Fund | Risk | Statements of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | |||||||||||
International Equity Insights | Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | $ | 1,317,261 | $ | (329,342 | ) | 297 | ||||||||
International Small Cap Insights | Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | (1,604,328 | ) | (939,945 | ) | 399 | |||||||||
| (a) | Average number of contracts is based on the average of month end balances for the fiscal year ended October 31, 2016. |
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
For the fiscal year ended October 31, 2016, contractual and effective net management fees with GSAM were at the following rates:
| Contractual Management Rate | Effective Net Management Rate^ | |||||||||||||||||||||||||||||
| Fund | First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | ||||||||||||||||||||||||
Emerging Markets Equity Insights | 1.00 | % | 1.00 | % | 0.90 | % | 0.86 | % | 0.84 | % | 1.00 | % | 1.00 | % | ||||||||||||||||
International Equity Insights | 0.85 | 0.77 | 0.73 | 0.72 | 0.71 | 0.85 | 0.81 | (1) | ||||||||||||||||||||||
International Small Cap Insights | 0.85 | 0.85 | 0.77 | 0.73 | 0.72 | 0.85 | 0.85 | |||||||||||||||||||||||
| ^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. |
| (1) | GSAM agreed to waive a portion of its management fee in order to achieve a net management rate, as defined in the Fund’s most recent prospectus. This waiver will be effective through at least February 26, 2017, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. |
61
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The Emerging Markets Equity Insights, International Equity Insights and International Small Cap Insights Funds invest in the Institutional Shares of Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to any of the affiliated Underlying Funds in which the Fund invests. For the fiscal year ended October 31, 2016, GSAM waived $822, $904 and $16,984 of the Funds’ management fees, respectively.
B. Distribution and Service Plans — The Trust, on behalf of each Fund, has adopted Distribution and Service Plans (the “Plans”). Under the Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, at the following annual rates calculated on a Fund’s average daily net assets of each respective share class:
| Distribution and Service Plan Rates | ||||||||||||
| Class A* | Class C | Class R* | ||||||||||
Distribution Plan | 0.25 | % | 0.75 | % | 0.50 | % | ||||||
Service Plan | — | 0.25 | — | |||||||||
| * | With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution Plan to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority. |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares front end sales charge and Class C Shares’ CDSC. During the fiscal year ended October 31, 2016, Goldman Sachs advised that it retained the following amounts:
| Front End Sales Charge | ||||||
| Fund | Class A | |||||
Emerging Markets Equity Insights | $ | 1,006 | ||||
International Equity Insights | 4,486 | |||||
International Small Cap Insights | 26,423 | |||||
For the fiscal year ended October 31, 2016, Goldman Sachs did not retain any CDSC charges on Class C Shares.
D. Service Plan and Shareholder Administration Plan — The Trust, on behalf of each Fund that offers Service Shares, has adopted a Service Plan and a Shareholder Administration Plan. These plans allow for service organizations (including Goldman Sachs) to provide varying levels of personal and account maintenance and shareholder administration services to their customers who are beneficial owners of such shares. The Service Plan and Shareholder Administration Plan each provide for compensation to the service organizations which is accrued daily and paid monthly at an annual rate of 0.25% (0.50% in aggregate) of the average daily net assets of the Service Shares.
E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.19% of the average daily net assets of Class A, Class C, Class IR and Class R Shares; 0.02% of the average daily net assets of Class R6 Shares; and 0.04% of the average daily net assets of Institutional and Service Shares.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, shareholder meeting, litigation, indemnification and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other
62
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for Emerging Markets Equity Insights, International Equity Insights and International Small Cap Insights Funds are 0.114%, 0.004% and 0.014%, respectively. Prior to February 26, 2016, the Other Expense limitation was 0.144% for the Emerging Markets Equity Insights Fund. These Other Expense limitations will remain in place through at least February 26, 2017, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the fiscal year ended October 31, 2016, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| Fund | Management Fee Waiver | Custody Fee Credits | Other Expense Reimbursement | Total Expense Reductions | ||||||||||||||
Emerging Markets Equity Insights | $ | 822 | $ | 7,721 | $ | 394,114 | $ | 402,657 | ||||||||||
International Equity Insights | 272,979 | 10,934 | 632,177 | 916,090 | ||||||||||||||
International Small Cap Insights | 16,984 | 3,924 | 1,155,265 | 1,176,173 | ||||||||||||||
G. Line of Credit Facility — As of October 31, 2016, the Funds participated in a $1,100,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates (“Other Borrowers”). This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the fiscal year ended October 31, 2016, the Funds did not have any borrowings under the facility.
H. Other Transactions with Affiliates — For the fiscal year ended October 31, 2016, Goldman Sachs earned $10,297 and $325 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the International Equity Insights and International Small Cap Insights Funds, respectively.
The following table provides information about the Funds’ investment in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended October 31, 2016:
| Fund | Market Value 10/31/2015 | Purchases at Cost | Proceeds from Sales | Market Value 10/31/2016 | Dividend Income | |||||||||||||||||
Emerging Markets Equity Insights | $ | — | $ | 60,860,499 | $ | (60,860,173 | ) | $ | 326 | $ | 1,828 | |||||||||||
International Equity Insights | — | 39,496,913 | (37,492,267 | ) | 2,004,646 | 1,988 | ||||||||||||||||
International Small Cap Insights | 29,164,962 | 355,486,090 | (384,651,052 | ) | — | 20,013 | ||||||||||||||||
63
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
As of October 31, 2016, the following Goldman Sachs Fund of Funds Portfolios and Goldman Sachs Global Tax-Aware Equity Portfolios were beneficial owners of 5% or more of total outstanding shares of the following Funds:
| Fund | Goldman Sachs Equity Growth Strategy Portfolio | Goldman Sachs Growth Strategy Portfolio | Goldman Sachs Growth and Income Strategy Portfolio | Goldman Sachs Satellite Strategies Portfolio | Goldman Sachs Tax-Advantaged Global Equity Portfolio | |||||||||||||||||
Emerging Markets Equity Insights | 6 | % | 11 | % | 11 | % | 5 | % | 11 | % | ||||||||||||
International Equity Insights | 10 | 17 | 11 | — | — | |||||||||||||||||
International Small Cap Insights | — | — | — | 7 | — | |||||||||||||||||
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended October 31, 2016, were as follows:
| Fund | Purchases | Sales and Maturities | ||||||||
Emerging Markets Equity Insights | $ | 1,734,664,521 | $ | 1,430,797,589 | ||||||
International Equity Insights | 1,152,850,454 | 1,219,067,894 | ||||||||
International Small Cap Insights | 2,105,686,979 | 1,927,550,015 | ||||||||
| 7. SECURITIES LENDING |
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Emerging Markets Equity Insights, International Equity Insights and International Small Cap Insights Funds may lend their securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Funds’ securities lending procedures, the Funds receive cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Funds, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Funds on the next business day. As with other extensions of credit, the Funds may experience delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Funds or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statements of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The Emerging Markets Equity Insights, International Equity Insights and International Small Cap Insights Funds invest the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Trust. Prior to September 30, 2016, the cash collateral had been invested in the Goldman Sachs Financial Square Money Market Fund. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive an investment advisory fee of up to 0.205% on an annualized basis of the average daily net assets of the Government Money Market Fund.
64
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
| 7. SECURITIES LENDING (continued) |
In the event of a default by a borrower with respect to any loan, GSAL will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by GSAL to exercise these remedies, the Funds sustain losses as a result of a borrower’s default, GSAL indemnifies the Funds by purchasing replacement securities at GSAL’s expense, or paying the Funds an amount equal to the market value of the replacement securities, subject to an exclusion for any shortfalls resulting from a loss of value in the cash collateral pool due to reinvestment risk and a requirement that the Funds agree to assign rights to the collateral to GSAL for purpose of using the collateral to cover purchase of replacement securities as more fully described in the Securities Lending Agency Agreement. The Funds’ loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral is at least equal to the value of the cash received. The amounts of the Funds’ overnight and continuous agreements collateralized by common stocks which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of October 31, 2016 are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities.
Both the Emerging Markets Equity Insights, International Equity Insights and International Small Cap Insights Funds and GSAL received compensation relating to the lending of the Funds’ securities. The amounts earned by the Funds for the fiscal year ended October 31, 2016, are reported under Investment Income on the Statements of Operations.
The table below details securities lending activity with affiliates of Goldman Sachs:
| For the Fiscal Year ended October 31, 2016 | ||||||||||||||
| Fund | Earnings of GSAL Relating to Securities Loaned | Amounts Received by the Funds from Lending to Goldman Sachs | Amounts Payable to Goldman Sachs upon Return of Securities Loaned as of October 31, 2016 | |||||||||||
Emerging Markets Equity Insights | $ | 16,031 | $ | 17,573 | $ | 8,135,783 | ||||||||
International Equity Insights | 40,354 | 64,392 | — | |||||||||||
International Small Cap Insights | 163,144 | 328,794 | 2,118,500 | |||||||||||
The following table provides information about the Funds’ investments in the Goldman Sachs Financial Square Money Market Fund for the fiscal year ended October 31, 2016:
| Fund | Number of Shares Held Beginning of Year | Shares Bought | Shares Sold | Number of Shares Held End of Year | Value at End of Year | |||||||||||||||||
Emerging Markets Equity Insights | 31,533,953 | 148,090,546 | (179,624,499 | ) | — | $ | — | |||||||||||||||
International Equity Insights | 26,299,180 | 227,650,718 | (253,949,898 | ) | — | — | ||||||||||||||||
International Small Cap Insights | 49,255,589 | 255,594,070 | (304,849,659 | ) | — | — | ||||||||||||||||
The following table provides information about the Funds’ investments in the Government Money Market Fund for the fiscal year ended October 31, 2016:
| Fund | Number of Shares Held Beginning of Year | Shares Bought | Shares Sold | Number of Shares Held End of Year | Value at End of Year | |||||||||||||||||
Emerging Markets Equity Insights | — | 17,623,349 | (4,437,166 | ) | 13,186,183 | $ | 13,186,183 | |||||||||||||||
International Equity Insights | — | 20,067,817 | (19,627,474 | ) | 440,343 | 440,343 | ||||||||||||||||
International Small Cap Insights | — | 33,323,238 | (22,556,875 | ) | 10,766,363 | 10,766,363 | ||||||||||||||||
65
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 8. TAX INFORMATION |
The tax character of distributions paid during the fiscal year ended October 31, 2016 was as follows:
| Emerging Markets Equity Insights | International Equity Insights | International Small Cap Insights | ||||||||||
Distributions paid from: | ||||||||||||
Ordinary income | $ | 6,102,734 | $ | 9,323,095 | $ | 19,975,605 | ||||||
Net long-term capital gains | — | — | — | |||||||||
Total taxable distributions | $ | 6,102,734 | $ | 9,323,095 | $ | 19,975,605 | ||||||
The tax character of distributions paid during the fiscal year ended October 31, 2015 was as follows:
| Emerging Markets Equity Insights | International Equity Insights | International Small Cap Insights | ||||||||||
Distributions paid from: | ||||||||||||
Ordinary income | $ | 12,291,816 | $ | 33,029,383 | $ | 16,039,267 | ||||||
Net long-term capital gains | 5,543,830 | — | 8,198,308 | |||||||||
Total taxable distributions | $ | 17,835,646 | $ | 33,029,383 | $ | 24,237,575 | ||||||
As of October 31, 2016, the components of accumulated earnings (losses) on a tax-basis were as follows:
| Emerging Markets Equity Insights | International Equity Insights | International Small Cap Insights | ||||||||||
Undistributed ordinary income — net | $ | 7,865,935 | $ | 14,599,990 | $ | 38,368,636 | ||||||
Capital loss carryforwards: | ||||||||||||
Expiring 2017(1) | $ | — | $ | (940,883,655 | ) | $ | — | |||||
Expiring 2019(1) | — | (2,867,280 | ) | — | ||||||||
Perpetual long-term | (9,807,425 | ) | — | (5,003,877 | ) | |||||||
Perpetual short-term | (67,558,212 | ) | (30,854,935 | ) | (11,492,733 | ) | ||||||
Total capital loss carryforwards | $ | (77,365,637 | ) | $ | (974,605,870 | ) | $ | (16,496,610 | ) | |||
Unrealized gains — net | 90,342,636 | 25,583,500 | 84,125,046 | |||||||||
Total accumulated earnings (losses) — net | $ | 20,842,934 | $ | (934,422,380 | ) | $ | 105,997,072 | |||||
| (1) | Expiration occurs on October 31 of the year indicated. The International Small Cap Insights Fund utilized $2,319,591 of capital losses in the current fiscal year. The International Equity Insights and the International Small Cap Insights Funds had capital loss carryforwards of $392,271,823 and $3,654,701, respectively, which expired in the current fiscal year. |
66
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
| 8. TAX INFORMATION (continued) |
As of October 31, 2016, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| Emerging Markets Equity Insights | International Equity Insights | International Small Cap Insights | ||||||||||
Tax cost | $ | 832,851,419 | $ | 612,215,470 | $ | 1,407,497,377 | ||||||
Gross unrealized gain | 110,017,251 | 49,575,084 | 145,829,022 | |||||||||
Gross unrealized loss | (19,015,262 | ) | (24,304,852 | ) | (61,885,474 | ) | ||||||
Net unrealized security gain | $ | 91,001,989 | $ | 25,270,232 | $ | 83,943,548 | ||||||
Net unrealized gain (loss) on other investments | (659,353 | ) | 313,268 | 181,498 | ||||||||
Net unrealized gain | $ | 90,342,636 | $ | 25,583,500 | $ | 84,125,046 | ||||||
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on regulated futures, net mark to market gains (losses) on foreign currency contracts and differences in the tax treatment of passive foreign investment company investments.
In order to present certain components of the Funds’ capital accounts on a tax-basis, certain reclassifications have been recorded to the Funds’ accounts. These reclassifications have no impact on the NAV of the Funds, and result primarily from the fund merger, expired capital loss carryforwards and differences in the tax treatment of foreign currency transactions and passive foreign investment company investments and realized foreign capital gains tax.
| Fund | Paid-in Capital | Accumulated Net Realized Gain (Loss) | Undistributed Net Investment Income (Loss) | |||||||||||
Emerging Markets Equity Insights | $ | — | $ | 1,534,010 | $ | (1,534,010 | ) | |||||||
International Equity Insights | (392,271,823 | ) | 390,662,451 | 1,609,372 | ||||||||||
International Small Cap Insights | 13,811,433 | (22,824,580 | ) | 9,013,147 | ||||||||||
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
| 9. OTHER RISKS |
The Funds’ risks include, but are not limited to, the following:
Derivatives Risk — Loss may result from the Funds investments in derivative instruments. These instruments may be illiquid, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Funds. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. Losses from investments in derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which a Fund invests. Loss may also result from the imposition of exchange controls, confiscations and other government restrictions by the U.S. or other governments, or from problems in registration, settlement or custody. Foreign risk also involves the risk of negative
67
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 9. OTHER RISKS (continued) |
foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which a Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that a Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
Foreign Custody Risk — A Fund that invests in foreign securities may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy. Investments in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in emerging market countries are very often undeveloped and may be considerably less well regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.
Investments in Other Investment Companies — As a shareholder of another investment company, including an ETF, a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include the Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions may cause a Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.
Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions.
Market and Credit Risks — In the normal course of business, a Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
| 10. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
68
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
| 11. OTHER MATTERS |
Mergers and Reorganizations — At a meeting held on October 14-15, 2015, the Trustees approved an Agreement and Plan of Reorganization (the “Reorganization Agreement”) providing for the tax-free acquisition of the Goldman Sachs International Small Cap Fund (the “Acquired Fund”) by the Goldman Sachs International Small Cap Insights Fund (the “Survivor Fund”). The acquisition was completed on February 5, 2016.
Pursuant to the Reorganization Agreement, the assets and liabilities of the Acquired Fund’s Shares were transferred in exchange for the Survivor Fund’s Shares, in a tax-free exchange as follows:
| Survivor/Acquired Fund | Exchanged Shares of Survivor Fund | Value of Exchanged Shares | Acquired Fund’s Shares Outstanding as of | |||||||||
International Small Cap Insights Class A/International Small Cap Class A | 1,319,500 | $ | 12,667,203 | 735,704 | ||||||||
International Small Cap Insights Class C/International Small Cap Class C | 336,631 | 3,144,130 | 189,506 | |||||||||
International Small Cap Insights Institutional Class/International Small Cap Institutional | 11,039,313 | 105,977,401 | 5,993,654 | |||||||||
International Small Cap Insights Class A/International Small Cap Service | 123,678 | 1,187,304 | 69,907 | |||||||||
International Small Cap Insights Class IR/International Small Cap Class IR | 144,014 | 1,376,772 | 77,777 | |||||||||
The financial statements reflect the operations of the Survivor Fund for the period prior to the acquisition and for the period subsequent to the acquisition. Assuming the acquisition had been completed on November 1, 2015, the Fund’s pro forma results of operations for the fiscal year ended October 31, 2016, would be as follows:
Net investment income | $ | 26,601,102 | ||
Net loss on investments | $ | (2,234,252 | ) | |
Net increase in net assets resulting from operations | $ | 24,366,850 |
Because the combined investment portfolios have been managed as a single integrated Fund since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of International Small Cap Fund that have been included in the Fund’s Statement of Operations since February 5, 2016.
The following chart shows the Survivor Fund’s and Acquired Fund’s aggregate net assets (immediately before and after the completion of the acquisition) and the Acquired Fund’s unrealized appreciation:
| Survivor/Acquired Fund | Survivor Fund’s Aggregate Net Assets before acquisition | Acquired Fund’s Aggregate Net Assets before acquisition | Survivor Fund’s Aggregate Net Assets immediately after acquisition | Acquired Fund’s Unrealized Depreciation | Acquired Fund’s Capital Loss Carryforward* | |||||||||||||||
International Small Cap Insights/International Small Cap | $ | 1,261,539,102 | $ | 124,353,052 | $ | 1,385,892,154 | $ | (1,093,412 | ) | $ | (17,180,096 | ) | ||||||||
| * | Due to Fund reorganizations, utilization of acquired losses may be substantially limited under the Code. |
| 12. SUBSEQUENT EVENTS |
Subsequent events after the Statements of Assets and Liabilities date have been evaluated and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
69
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 13. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| Emerging Markets Equity Insights Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 3,066,812 | $ | 24,019,849 | 1,831,857 | $ | 15,491,486 | ||||||||||
Reinvestment of distributions | 43,777 | 331,829 | 97,926 | 827,477 | ||||||||||||
Shares redeemed | (1,932,709 | ) | (14,768,902 | ) | (1,434,964 | ) | (12,316,990 | ) | ||||||||
| 1,177,880 | 9,582,776 | 494,819 | 4,001,973 | |||||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 72,969 | 580,263 | 72,805 | 621,855 | ||||||||||||
Reinvestment of distributions | 220 | 1,662 | 1,125 | 9,472 | ||||||||||||
Shares redeemed | (73,492 | ) | (562,747 | ) | (45,881 | ) | (379,906 | ) | ||||||||
| (303 | ) | 19,178 | 28,049 | 251,421 | ||||||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 79,001,364 | 619,288,138 | 25,344,354 | 212,286,064 | ||||||||||||
Reinvestment of distributions | 751,192 | 5,679,011 | 1,976,076 | 16,638,558 | ||||||||||||
Shares redeemed | (44,111,219 | ) | (340,167,708 | ) | (36,627,575 | ) | (300,150,389 | ) | ||||||||
| 35,641,337 | 284,799,441 | (9,307,145 | ) | (71,225,767 | ) | |||||||||||
| Class IR Shares | ||||||||||||||||
Shares sold | 280,027 | 2,150,891 | 101,302 | 856,635 | ||||||||||||
Reinvestment of distributions | 1,811 | 13,689 | 2,036 | 17,142 | ||||||||||||
Shares redeemed | (81,939 | ) | (646,488 | ) | (100,019 | ) | (814,815 | ) | ||||||||
| 199,899 | 1,518,092 | 3,319 | 58,962 | |||||||||||||
| Class R | ||||||||||||||||
Shares sold | 752,744 | 5,605,717 | 511,434 | 4,309,387 | ||||||||||||
Reinvestment of distributions | 5,611 | 42,141 | 3,766 | 31,596 | ||||||||||||
Shares redeemed | (228,702 | ) | (1,772,464 | ) | (47,012 | ) | (386,625 | ) | ||||||||
| 529,653 | 3,875,394 | 468,188 | 3,954,358 | |||||||||||||
| Class R6(a) | ||||||||||||||||
Shares sold | 193,912 | 1,563,951 | 1,191 | 10,005 | ||||||||||||
Reinvestment of distributions | 16 | 121 | — | — | ||||||||||||
Shares redeemed | (3,292 | ) | (28,004 | ) | (1 | ) | (5 | ) | ||||||||
| 190,636 | 1,536,068 | 1,190 | 10,000 | |||||||||||||
NET INCREASE (DECREASE) | 37,739,102 | $ | 301,330,949 | (8,311,580 | ) | $ | (62,949,053 | ) | ||||||||
| (a) | Commenced operations on July 31, 2015. |
70
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
| 13. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| International Equity Insights Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 4,937,339 | $ | 50,831,036 | 1,868,895 | $ | 19,519,895 | ||||||||||
Shares converted from Class B(a) | — | — | 24,889 | 263,075 | ||||||||||||
Reinvestment of distributions | 80,128 | 829,331 | 291,811 | 2,932,700 | ||||||||||||
Shares redeemed | (2,522,009 | ) | (25,928,666 | ) | (2,146,266 | ) | (22,454,171 | ) | ||||||||
| 2,495,458 | 25,731,701 | 39,329 | 261,499 | |||||||||||||
| Class B Shares(a) | ||||||||||||||||
Shares converted to Class A | — | — | (25,175 | ) | (263,075 | ) | ||||||||||
Shares redeemed | — | — | (88,787 | ) | (927,959 | ) | ||||||||||
| — | — | (113,962 | ) | (1,191,034 | ) | |||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 332,329 | 3,366,978 | 185,882 | 1,949,987 | ||||||||||||
Reinvestment of distributions | 2,542 | 25,930 | 8,739 | 86,865 | ||||||||||||
Shares redeemed | (163,160 | ) | (1,602,968 | ) | (59,564 | ) | (610,073 | ) | ||||||||
| 171,711 | 1,789,940 | 135,057 | 1,426,779 | |||||||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 25,712,273 | 266,578,928 | 17,109,923 | 180,629,424 | ||||||||||||
Reinvestment of distributions | 790,870 | 8,383,219 | 2,889,476 | 29,732,706 | ||||||||||||
Shares redeemed | (39,545,582 | ) | (418,256,547 | ) | (28,291,881 | ) | (294,640,896 | ) | ||||||||
| (13,042,439 | ) | (143,294,400 | ) | (8,292,482 | ) | (84,278,766 | ) | |||||||||
| Service Shares | ||||||||||||||||
Shares sold | 53,262 | 552,938 | 24,694 | 262,287 | ||||||||||||
Reinvestment of distributions | 1,373 | 14,350 | 5,162 | 52,390 | ||||||||||||
Shares redeemed | (30,322 | ) | (304,882 | ) | (133,921 | ) | (1,372,691 | ) | ||||||||
| 24,313 | 262,406 | (104,065 | ) | (1,058,014 | ) | |||||||||||
| Class IR Shares | ||||||||||||||||
Shares sold | 716,170 | 7,341,691 | 164,932 | 1,769,692 | ||||||||||||
Reinvestment of distributions | 1,745 | 17,727 | 1,163 | 11,495 | ||||||||||||
Shares redeemed | (237,687 | ) | (2,434,867 | ) | (32,061 | ) | (324,237 | ) | ||||||||
| 480,228 | 4,924,551 | 134,034 | 1,456,950 | |||||||||||||
| Class R Shares | ||||||||||||||||
Shares sold | 214,842 | 2,163,173 | 6,876 | 69,735 | ||||||||||||
Reinvestment of distributions | 130 | 1,319 | 447 | 4,419 | ||||||||||||
Shares redeemed | (23,960 | ) | (238,839 | ) | (4,582 | ) | (44,808 | ) | ||||||||
| 191,012 | 1,925,653 | 2,741 | 29,346 | |||||||||||||
| Class R6 Shares(b) | ||||||||||||||||
Shares sold | 4,835,457 | 49,527,934 | 891 | 10,006 | ||||||||||||
Reinvestment of distributions | 13 | 138 | — | — | ||||||||||||
Shares redeemed | (518,039 | ) | (5,568,134 | ) | — | (5 | ) | |||||||||
| 4,317,431 | 43,959,938 | 891 | 10,001 | |||||||||||||
NET DECREASE | (5,362,286 | ) | $ | (64,700,211 | ) | (8,198,457 | ) | $ | (83,343,239 | ) | ||||||
| (a) | Class B Shares converted into Class A Shares at the close of business on November 14, 2014. |
| (b) | Commenced operations on July 31, 2015. |
71
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 13. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| International Small Cap Insights Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 11,266,663 | $ | 116,058,912 | 10,164,659 | $ | 105,767,772 | ||||||||||
Shares issued in connection with merger | 1,443,178 | 13,866,979 | — | — | ||||||||||||
Reinvestment of distributions | 265,744 | 2,771,715 | 377,041 | 3,661,067 | ||||||||||||
Shares redeemed | (9,916,940 | ) | (101,923,534 | ) | (5,368,860 | ) | (55,033,086 | ) | ||||||||
| 3,058,645 | 30,774,072 | 5,172,840 | 54,395,753 | |||||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 1,794,917 | 17,921,408 | 2,593,933 | 26,548,629 | ||||||||||||
Shares issued in connection with merger | 336,631 | 3,144,130 | — | — | ||||||||||||
Reinvestment of distributions | 28,258 | 286,821 | 39,196 | 371,581 | ||||||||||||
Shares redeemed | (1,685,383 | ) | (16,786,959 | ) | (758,657 | ) | (7,530,969 | ) | ||||||||
| 474,423 | 4,565,400 | 1,874,472 | 19,389,241 | |||||||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 46,345,177 | 473,082,334 | 43,990,057 | 456,097,807 | ||||||||||||
Shares issued in connection with merger | 11,039,312 | 106,067,960 | — | — | ||||||||||||
Reinvestment of distributions | 1,269,392 | 13,227,063 | 1,626,828 | 15,763,967 | ||||||||||||
Shares redeemed | (39,519,106 | ) | (405,932,900 | ) | (27,091,726 | ) | (273,799,729 | ) | ||||||||
| 19,134,775 | 186,444,457 | 18,525,159 | 198,062,045 | |||||||||||||
| Class IR Shares | ||||||||||||||||
Shares sold | 8,093,824 | 83,022,225 | 2,889,011 | 30,097,553 | ||||||||||||
Shares issued in connection with merger | 144,014 | 1,376,524 | — | — | ||||||||||||
Reinvestment of distributions | 81,550 | 847,302 | 63,030 | 608,866 | ||||||||||||
Shares redeemed | (2,951,256 | ) | (30,103,130 | ) | (930,661 | ) | (9,482,125 | ) | ||||||||
| 5,368,132 | 55,142,921 | 2,021,380 | 21,224,294 | |||||||||||||
| Class R6 Shares(a) | ||||||||||||||||
Shares sold | 1,779,939 | 18,929,665 | 930 | 10,005 | ||||||||||||
Reinvestment of distributions | 354 | 3,693 | — | — | ||||||||||||
Shares redeemed | (54,393 | ) | (592,268 | ) | — | (5 | ) | |||||||||
| 1,725,900 | 18,341,090 | 930 | 10,000 | |||||||||||||
NET INCREASE | 29,761,875 | $ | 295,267,940 | 27,594,781 | $ | 293,081,333 | ||||||||||
| (a) | Commenced operations on July 31, 2015. |
72
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Goldman Sachs Trust and Shareholders of the Goldman Sachs International Equity Insights Funds:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Goldman Sachs Emerging Markets Equity Insights Fund, Goldman Sachs International Equity Insights Fund, and Goldman Sachs International Small Cap Insights Fund (collectively the “Funds”), funds of the Goldman Sachs Trust, at October 31, 2016, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2016 by correspondence with the custodian, brokers, transfer agent of the underlying funds and the application of alternative auditing procedures where securities purchased confirmations had not been received, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
December 23, 2016
73
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Fund Expenses — Six Month Period Ended October 31, 2016 (Unaudited)
As a shareholder of Class A, Class C, Institutional, Service, Class IR, Class R or R6 Shares of a Fund you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares) and contingent deferred sales charges on redemptions (with respect to Class C Shares); and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees (with respect to Class A, Class C and Class R Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class C, Institutional, Service, Class IR, Class R and Class R6 Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from May 1, 2016 through October 31, 2016, which represents a period of 184 days of a 366 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Emerging Markets Equity Insights Fund | International Equity Insights Fund | International Small Cap Insights Fund | ||||||||||||||||||||||||||||||||||
| Share Class | Beginning Account Value 5/01/16 | Ending Account Value 10/31/16 | Expenses Paid for the 6 Months Ended 10/31/16* | Beginning Account Value 5/01/16 | Ending Account Value 10/31/16 | Expenses Paid for the 6 Months Ended 10/31/16* | Beginning Account Value 5/01/16 | Ending Account Value 10/31/16 | Expenses Paid for the 6 Months Ended 10/31/16* | |||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,092.10 | $ | 8.15 | $ | 1,000 | $ | 1,014.50 | $ | 6.33 | $ | 1,000 | $ | 1,021.00 | $ | 6.60 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,017.34 | + | 7.86 | 1,000 | 1,018.85 | + | 6.34 | 1,000 | 1,018.60 | + | 6.60 | ||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,087.50 | 12.07 | 1,000 | 1,011.80 | 10.11 | 1,000 | 1,016.70 | 10.39 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,013.57 | + | 11.64 | 1,000 | 1,015.08 | + | 10.13 | 1,000 | 1,014.83 | + | 10.38 | ||||||||||||||||||||||||
| Institutional | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,094.90 | 6.06 | 1,000 | 1,016.90 | 4.31 | 1,000 | 1,022.90 | 4.58 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,019.36 | + | 5.84 | 1,000 | 1,020.86 | + | 4.32 | 1,000 | 1,020.61 | + | 4.57 | ||||||||||||||||||||||||
| Service | ||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | 1,000 | 1,015.30 | 6.84 | N/A | N/A | N/A | |||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | 1,000 | 1,018.35 | + | 6.85 | N/A | N/A | N/A | ||||||||||||||||||||||||||
| Class IR | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,093.60 | 6.84 | 1,000 | 1,015.70 | 5.07 | 1,000 | 1,022.00 | 5.34 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,018.60 | + | 6.60 | 1,000 | 1,020.11 | + | 5.08 | 1,000 | 1,019.86 | + | 5.33 | ||||||||||||||||||||||||
| Class R | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,090.40 | 9.46 | 1,000 | 1,013.80 | 7.59 | N/A | N/A | N/A | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,016.09 | + | 9.12 | 1,000 | 1,017.60 | + | 7.61 | N/A | N/A | N/A | |||||||||||||||||||||||||
| Class R6 | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,093.60 | 5.95 | 1,000 | 1,016.90 | 4.21 | 1,000 | 1,022.80 | 4.47 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,019.46 | + | 5.74 | 1,000 | 1,020.96 | + | 4.22 | 1,000 | 1,020.71 | + | 4.47 | ||||||||||||||||||||||||
| * | Expenses are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended October 31, 2016. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
| Fund | Class A | Class C | Institutional | Service | Class IR | Class R | Class R6 | |||||||||||||||||||||
Emerging Markets Equity Insights | 1.55 | % | 2.30 | % | 1.15 | % | N/A | 1.30 | % | 1.80 | % | 1.13 | % | |||||||||||||||
International Equity Insights | 1.25 | 2.00 | 0.85 | 1.35 | % | 1.00 | 1.50 | 0.83 | ||||||||||||||||||||
International Small Cap Insights | 1.30 | 2.05 | 0.90 | N/A | 1.05 | N/A | 0.88 | |||||||||||||||||||||
| + | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
74
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Emerging Markets Equity Insights Fund, Goldman Sachs International Equity Insights Fund, and Goldman Sachs International Small Cap Insights Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds.
The Management Agreement was most recently approved for continuation until June 30, 2017 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 15-16, 2016 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to each Fund, such matters included:
| (a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
| (i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
| (ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
| (iii) | trends in employee headcount; |
| (iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
| (v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
| (b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), a benchmark performance index, and a composite of accounts with comparable investment strategies managed by the Investment Adviser (in the case of the Emerging Markets Equity Insights and International Small Cap Insights Funds); and general investment outlooks in the markets in which the Fund invests; |
| (c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
| (d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
| (e) | fee and expense information for the Fund, including: |
| (i) | the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
| (ii) | the Fund’s expense trends over time; and |
| (iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
| (f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
| (g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
| (h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund and the Trust as a whole to the Investment Adviser and its affiliates; |
| (i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
75
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
| (j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, securities lending, portfolio trading, distribution and other services; |
| (k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
| (l) | information regarding commissions paid by the Fund and broker oversight, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
| (m) | portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
| (n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
| (o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity, and payment of distribution, service, and shareholder administration fees, as applicable. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the regulatory and control environment in which the Funds and their service providers operate, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Funds. In this regard, they compared the investment performance of each Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2015, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2016. The information on each Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates, to the extent that each Fund had been in existence for those periods. The Trustees also reviewed each Fund’s investment performance relative to its performance benchmark. As part of this review, they
76
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies and market conditions. The Trustees also received information comparing the Funds’ performance (in the case of the Emerging Markets Equity Insights and the International Small Cap Insights Funds) to that of composites of accounts with comparable investment strategies managed by the Investment Adviser.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management. They noted the efforts of the Funds’ portfolio management team to continue to enhance the investment models used in managing the Funds.
The Trustees observed that the Emerging Markets Equity Insights Fund’s Institutional Shares had placed in the top half of the Fund’s peer group and had outperformed the Fund’s benchmark index for the one-, three-, and five-year periods ended March 31, 2016. The Trustees observed that the International Equity Insights Fund’s Institutional Shares had placed in the first quartile of the Fund’s peer group for the one-, three-, five-, and ten-year periods, and had outperformed the Fund’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2016. They noted that the International Small Cap Insights Fund’s Institutional Shares had placed in the first quartile of the Fund’s peer group for the one-, three- and five-year periods, and had outperformed the Fund’s benchmark index for the three- and five-year periods and underperformed for the one-year period ended March 31, 2016. They also noted that the Goldman Sachs International Small Cap Fund had been reorganized into the International Small Cap Insights Fund in February 2016. The Trustees also noted that the Funds had experienced certain portfolio management changes in the first quarter of 2016 and that the International Equity Insights Fund and International Small Cap Insights Fund had experienced certain additional portfolio management changes in the second quarter of 2016.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by each Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of each Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s transfer agency, custody, and distribution fees, other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. The Trustees also noted that certain changes were being made to existing fee waiver or expense limitation arrangements of the Emerging Markets Equity Insights and International Equity Insights Funds that would have the effect of decreasing total Fund expenses, with such changes taking effect in connection with the Funds’ next annual registration statement update. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed the Investment Adviser’s revenues and pre-tax profit margins with respect to the Trust and each of the Funds. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization had audited the expense
77
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
allocation methodology and was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology and profitability analysis calculations. Profitability data for the Trust and each Fund were provided for 2015 and 2014, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.
Economies of Scale
The Trustees considered the information that had been provided regarding the Investment Adviser’s profitability. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:
| International Equity Insights Fund | Emerging Markets Equity Insights Fund | International Small Cap Insights Fund | ||||||||||||
First $1 billion | 0.85 | % | First $2 billion | 1.00 | % | 0.85 | % | |||||||
Next $1 billion | 0.77 | Next $3 billion | 0.90 | 0.77 | ||||||||||
Next $3 billion | 0.73 | Next $3 billion | 0.86 | 0.73 | ||||||||||
Next $3 billion | 0.72 | Over $8 billion | 0.84 | 0.72 | ||||||||||
Over $8 billion | 0.71 | |||||||||||||
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertaking to waive a portion of its management fee (with respect to the International Equity Insights Fund) and to limit certain expenses of the Funds that exceed specified levels. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds as stated above, including: (a) transfer agency fees received by Goldman, Sachs & Co. (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Funds; (c) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (d) fees earned by Goldman Sachs Agency Lending (“GSAL”), an affiliate of the Investment Adviser, as securities lending agent (and fees earned by the Investment Adviser for managing the fund in which the Funds’ cash collateral is invested); (e) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (f) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (g) Goldman Sachs’ retention of certain fees as Fund Distributor; (h) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; and (i) the possibility that the working relationship between the Investment Adviser and the Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Funds and Their Shareholders
The Trustees also noted that the Funds receive certain potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors because of the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers because of the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Funds as a result of the size and reputation of the Goldman Sachs organization; (e) the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization;
78
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
(g) the Funds’ access, through the Investment Adviser, to certain firmwide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; (h) the Funds’ ability to participate in the securities lending program administered by GSAL, as measured by the revenue received by the Funds in connection with the program; and (i) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Management Agreement should be approved and continued with respect to each Fund until June 30, 2017.
79
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Trustees and Officers (Unaudited)
Independent Trustees
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Ashok N. Bakhru Age: 74 | Chairman of the Board of Trustees | Since 1996 (Trustee since 1991) | Mr. Bakhru is retired. He was formerly Director, Apollo Investment Corporation (a business development company) (2008-2013); President, ABN Associates (a management and financial consulting firm) (1994-1996 and 1998-2012); Trustee, Scholarship America (1998-2005); Trustee, Institute for Higher Education Policy (2003-2008); Director, Private Equity Investors — III and IV (1998-2007), and Equity-Linked Investors II (April 2002-2007).
Chairman of the Board of Trustees — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | 142 | None | |||||
Kathryn A. Cassidy Age: 62 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Diana M. Daniels Age: 67 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Herbert J. Markley Age: 66 | Trustee | Since 2013 | Mr. Markley is retired. Formerly, he was Executive Vice President, Deere & Company (an agricultural and construction equipment manufacturer) (2007-2009); and President, Agricultural Division, Deere & Company (2001-2007). Previously, Mr. Markley served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Jessica Palmer Age: 67 | Trustee | Since 2007 | Ms. Palmer is retired. She is Director, Emerson Center for the Arts and Culture (2011-Present); and was formerly a Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None |
80
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Trustees and Officers (Unaudited) (continued)
Independent Trustees
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Roy W. Templin Age: 56 | Trustee | Since 2013 | Mr. Templin is retired. He recently served as Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); and was formerly Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Gregory G. Weaver Age: 65 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | Verizon Communications Inc. | |||||
81
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Trustees and Officers (Unaudited) (continued)
Interested Trustees*
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
James A. McNamara Age: 54 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993- April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | 140 | None | |||||
Alan A. Shuch Age: 66 | Trustee | Since 1990 | Advisory Director — GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994-May 1999).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
| * | These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
| 1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of October 31, 2016. |
| 2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirement shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. One Trustee has been granted a waiver from the foregoing policies which permits him to serve until December 31, 2017. |
| 3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of October 31, 2016, Goldman Sachs Trust consisted of 92 portfolios (91 of which offered shares to the public); Goldman Sachs Variable Insurance Trust consisted of 14 portfolios; Goldman Sachs Trust II consisted of 17 portfolios (15 of which offered shares to the public); Goldman Sachs BDC, Inc., Goldman Sachs Private Middle Market Credit LLC, Goldman Sachs MLP Income Opportunities Fund, and Goldman Sachs MLP and Energy Renaissance Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 15 portfolios (eight of which offered shares to the public). Goldman Sachs Private Middle Market Credit LLC does not offer shares to the public. |
| 4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
82
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 54 | Trustee and President | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 39 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Middle Market Lending LLC; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
Scott M. McHugh 200 West Street New York, NY 10282 Age: 45 | Treasurer, Senior Vice President and Principal Financial Officer | Since 2009 (Principal Financial Officer since 2013) | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (February 2007-December 2015); Assistant Treasurer of certain mutual funds administered by DWS Scudder (2005-2007); and Director (2005-2007), Vice President (2000-2005), and Assistant Vice President (1998-2000), Deutsche Asset Management or its predecessor (1998-2007).
Treasurer, Senior Vice President and Principal Financial Officer — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
| 1 | Information is provided as of October 31, 2016. |
| 2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
83
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Goldman Sachs Trust — International Equity Insights Funds — Tax Information (Unaudited)
From distributions paid during the year ended October 31, 2016, the total amount of income received by the Emerging Markets Equity Insights, International Equity Insights, and International Small Cap Insights Funds from sources within foreign countries and possessions of the United States was $0.1812, $0.1919, and $0.1362 per share, respectively, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid from foreign sources by the Emerging Markets Equity Insights, International Equity Insights, and International Small Cap Insights Funds were 94.03%, 76.18%, and 85.28%, respectively. The total amount of taxes paid by the Emerging Markets Equity Insights, International Equity Insights and International Small Cap Insights Funds to such countries was $0.0444, $0.0105, and $0.0122 per share, respectively.
For the year ended October 31, 2016, 97.80%, 100%, and 78.23% of the dividends paid from net investment company taxable income by the Emerging Markets Equity Insights, International Equity Insights, and International Small Cap Insights Funds, respectively, qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
84
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.15 trillion in assets under supervision as of September 30, 2016, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman, Sachs & Co. subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| n | Financial Square Treasury Solutions Fund1 |
| n | Financial Square Government Fund1 |
| n | Financial Square Money Market Fund2 |
| n | Financial Square Prime Obligations Fund2 |
| n | Financial Square Treasury Instruments Fund1 |
| n | Financial Square Treasury Obligations Fund1 |
| n | Financial Square Federal Instruments Fund1 |
| n | Financial Square Tax-Exempt Money Market Fund2 |
Investor FundsSM
| n | Investor Money Market Fund3 |
| n | Investor Tax-Exempt Money Market Fund3,4 |
Fixed Income
Short Duration and Government
| n | Enhanced Income Fund |
| n | High Quality Floating Rate Fund |
| n | Short-Term Conservative Income Fund5 |
| n | Short Duration Government Fund |
| n | Short Duration Income Fund |
| n | Government Income Fund |
| n | Inflation Protected Securities Fund |
Multi-Sector
| n | Bond Fund |
| n | Core Fixed Income Fund |
| n | Global Income Fund |
| n | Strategic Income Fund |
Municipal and Tax-Free
| n | High Yield Municipal Fund |
| n | Dynamic Municipal Income Fund |
| n | Short Duration Tax-Free Fund |
Single Sector
| n | Investment Grade Credit Fund |
| n | U.S. Mortgages Fund |
| n | High Yield Fund |
| n | High Yield Floating Rate Fund |
| n | Emerging Markets Debt Fund |
| n | Local Emerging Markets Debt Fund |
| n | Dynamic Emerging Markets Debt Fund |
Fixed Income Alternatives
| n | Long Short Credit Strategies Fund |
| n | Fixed Income Macro Strategies Fund |
Fundamental Equity
| n | Growth and Income Fund |
| n | Small Cap Value Fund |
| n | Small/Mid Cap Value Fund |
| n | Mid Cap Value Fund |
| n | Large Cap Value Fund |
| n | Focused Value Fund |
| n | Capital Growth Fund |
| n | Strategic Growth Fund |
| n | Focused Growth Fund |
| n | Small/Mid Cap Growth Fund |
| n | Flexible Cap Growth Fund |
| n | Concentrated Growth Fund |
| n | Technology Opportunities Fund |
| n | Growth Opportunities Fund |
| n | Rising Dividend Growth Fund |
| n | Dynamic U.S. Equity Fund |
| n | Income Builder Fund |
Tax-Advantaged Equity
| n | U.S. Tax-Managed Equity Fund |
| n | International Tax-Managed Equity Fund |
| n | U.S. Equity Dividend and Premium Fund |
| n | International Equity Dividend and Premium Fund |
Equity Insights
| n | Small Cap Equity Insights Fund |
| n | U.S. Equity Insights Fund |
| n | Small Cap Growth Insights Fund |
| n | Large Cap Growth Insights Fund |
| n | Large Cap Value Insights Fund |
| n | Small Cap Value Insights Fund |
| n | International Small Cap Insights Fund6 |
| n | International Equity Insights Fund |
| n | Emerging Markets Equity Insights Fund |
Fundamental Equity International
| n | Strategic International Equity Fund |
| n | Focused International Equity Fund |
| n | Asia Equity Fund |
| n | Emerging Markets Equity Fund |
| n | N-11 Equity Fund |
Select Satellite
| n | Real Estate Securities Fund |
| n | International Real Estate Securities Fund |
| n | Commodity Strategy Fund |
| n | Global Real Estate Securities Fund |
| n | Dynamic Commodity Strategy Fund |
| n | Dynamic Allocation Fund |
| n | Absolute Return Tracker Fund |
| n | Long Short Fund |
| n | Managed Futures Strategy Fund |
| n | MLP Energy Infrastructure Fund |
| n | Multi-Manager Alternatives Fund |
| n | Multi-Asset Real Return Fund |
| n | Absolute Return Multi-Asset Fund |
| n | Global Infrastructure Fund |
Total Portfolio Solutions
| n | Global Managed Beta Fund |
| n | Multi-Manager Non-Core Fixed Income Fund |
| n | Multi-Manager U.S. Dynamic Equity Fund |
| n | Multi-Manager Global Equity Fund |
| n | Multi-Manager International Equity Fund |
| n | Tactical Tilt Overlay Fund7 |
| n | Balanced Strategy Portfolio |
| n | Multi-Manager U.S. Small Cap Equity Fund |
| n | Multi-Manager Real Assets Strategy Fund |
| n | Growth and Income Strategy Portfolio |
| n | Growth Strategy Portfolio |
| n | Equity Growth Strategy Portfolio |
| n | Satellite Strategies Portfolio |
| n | Enhanced Dividend Global Equity Portfolio |
| n | Tax-Advantaged Global Equity Portfolio |
| n | Strategic Factor Allocation Fund |
| n | Target Date 2020 Portfolio |
| n | Target Date 2025 Portfolio |
| n | Target Date 2030 Portfolio |
| n | Target Date 2035 Portfolio |
| n | Target Date 2040 Portfolio |
| n | Target Date 2045 Portfolio |
| n | Target Date 2050 Portfolio |
| n | Target Date 2055 Portfolio |
| n | GQG Partners International Opportunities Fund |
| 1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | Effective on March 31, 2016, the Goldman Sachs Financial Square Tax-Free Money Market Fund was renamed the Goldman Sachs Investor Tax-Exempt Money Market Fund. |
| 5 | Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund. |
| 6 | Effective at the close of business on February 5, 2016, the Goldman Sachs International Small Cap Fund was reorganized with and into the Goldman Sachs International Small Cap Insights Fund. |
| 7 | Effective on June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman, Sachs & Co.
| *This | list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
TRUSTEES Ashok N. Bakhru, Chairman Kathryn A. Cassidy Diana M. Daniels Herbert J. Markley James A. McNamara Jessica Palmer Alan A. Shuch Roy W. Templin Gregory G. Weaver | OFFICERS James A. McNamara, President Scott M. McHugh, Principal Financial Officer, Caroline L. Kraus, Secretary | |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser | |
Visit our Website at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission web site at http://www.sec.gov.
Economic and market forecasts presented herein reflect a series of assumptions and judgments as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s web site at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Fund holdings and allocations shown are as of October 31, 2016 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. Diversification does not protect an investor from market risk and does not ensure a profit.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2016 Goldman Sachs. All rights reserved. 75007-TMPL-12/2016 INTINSAR-16/33K
Goldman Sachs Funds
| Annual Report | October 31, 2016 | |||
Multi-Asset Class Funds | ||||
Absolute Return Multi-Asset | ||||
Multi-Asset Real Return | ||||
Goldman Sachs Multi-Asset Class Funds
| n | ABSOLUTE RETURN MULTI-ASSET |
| n | MULTI-ASSET REAL RETURN |
TABLE OF CONTENTS | ||||
Investment Process | 1 | |||
Portfolio Management Discussion and Performance Summary | 2 | |||
Schedules of Investments | 23 | |||
Financial Statements | 36 | |||
Financial Highlights | 40 | |||
Notes to the Financial Statements | 44 | |||
Report of Independent Registered Public Accounting Firm | 63 | |||
Other Information | 64 | |||
| NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
What Differentiates Goldman Sachs Absolute
Return Multi-Asset Fund’s Investment Process?
The Goldman Sachs Absolute Return Multi-Asset Fund (the “Fund”) seeks to deliver consistent returns in all market environments through broad diversification and dynamic management. The Fund aims to provide exposure beyond traditional asset classes, with less dependence on the direction of stock and bond markets, and thoughtfully combines the investment capabilities across Goldman Sachs Asset Management (GSAM).
| n | By investing across asset classes using less-traditional strategies and techniques, we aim to incorporate distinct sources of return into the portfolio that are different from traditional core equities and bond returns |
| n | We use a proprietary, factor-based risk-budgeting framework that seeks to balance risk across unique return drivers and active strategies |
| n | The Fund capitalizes on the changing economic cycle and tactically adjusts for dislocations in the current environment, with the aim of enhancing returns and mitigating portfolio losses |
| n | We seek to profit from opportunities across medium- to shorter-term time horizons and multiple geographies |
| n | For over two decades, we have managed multi-asset class solutions for clients including sovereign wealth funds, pension plans, endowments, and foundations |
| n | We leverage the insights and alpha generation of GSAM’s 800+ investment professions in 32 offices around the globe (as of September 30, 2016) |
| n | We monitor portfolio risk daily and have a robust risk management framework with multiple layers of oversight at the strategic allocation, security selection and firm levels |
Diversification does not protect an investor from market risk and does not ensure a profit. The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
1
PORTFOLIO RESULTS
Goldman Sachs Absolute Return Multi-Asset Fund
Investment Objective
The Fund seeks to achieve long-term absolute return.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Global Portfolio Solutions Team discusses the Goldman Sachs Absolute Return Multi-Asset Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2016 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional, IR, R and R6 Shares generated average annual total returns, without sales charges, of -1.36%, -2.01%, -0.93%, -1.18%, -1.64% and -0.92%, respectively. These returns compare to the 0.54% average annual total return of the Fund’s benchmark, the Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Maturity Index (the “Index”), during the same time period. |
| References to the Fund’s benchmarks and to other indices mentioned herein are for informational purposes only, and unless otherwise noted, are not an indication of how the Fund is managed. The use of the Index as the Fund’s benchmark does not imply the Fund is being managed like cash and does not imply low risk or low volatility. |
| Q | What economic and market factors most influenced the Fund during the Reporting Period? |
| A | Global equities, as represented by the MSCI World Index, posted positive returns during the Reporting Period, rebounding from sharp losses suffered at the beginning of 2016. Emerging market stocks were among the best performing asset classes during the Reporting Period overall, with the MSCI Emerging Markets Index recording a gain of more than 9%. Meanwhile, bond prices increased in many developed economies, as yields, including those on 10-year U.S. and Eurozone government bonds, fell. The U.S. dollar strengthened against most developed market currencies, including the Japanese yen, the euro and the British pound. The British pound fell to a 30-year low versus the U.S. dollar after the U.K.’s surprise “leave” vote in its referendum about membership in the European Union, popularly known as Brexit. Commodities generated negative returns, primarily due to a sell-off in crude oil prices amid oversupply that occurred early in the Reporting Period. The price of West Texas Intermediate (“WTI”) crude oil, for example, declined at the beginning of the Reporting Period and fell to a 12-year low in mid-January 2016 before increasing through the end of the Reporting Period. Still, WTI crude oil prices remained well below their historic average when the Reporting Period came to a close, despite the announcement in September 2016 that members of the Organization of Petroleum Exporting Countries (“OPEC”) had agreed to limit output for the first time in eight years. |
Investor sentiment was dominated during the Reporting Period by global central bank monetary policy, commodity price movements and Brexit. Generally supportive but diverging central bank monetary policy across countries and global regions — particularly in developed markets where low inflation persisted — continued to unfold during the Reporting Period. In the U.S., the Federal Reserve (the “Fed”) announced its first interest rate hike since 2006, raising the targeted federal funds rate to a range of 0.25% to 0.50% during December 2015. The Fed subsequently adopted a more dovish tone due to global economic growth concerns and market volatility. (A dovish tone tends to indicate lower interest rates; opposite of hawkish.) Later in the Reporting Period, improving U.S. economic conditions coupled with hawkish commentary from the Fed increased investor expectations for an interest rate increase in December 2016. The 10-year U.S Treasury yield began the Reporting Period at 2.16%, hit a high of 2.30% during November 2015, steadily declined to a low of 1.36% in July 2016 and ended the Reporting Period at 1.84%. In the Eurozone, the European Central Bank (“ECB”) lowered interest rates into negative territory during December 2015 and expanded its stimulus program. In January 2016, it increased its asset purchase program to include purchases of non-bank investment grade corporate bonds and announced a new series of easing |
2
PORTFOLIO RESULTS
measures. The Bank of Japan (“BoJ”) introduced a negative interest rate at its January 2016 policy meeting, reaffirming its commitment to achieving a 2% inflation target. Later in the Reporting Period, the BoJ and ECB chose not to increase the size of their asset purchase programs, disappointing the markets. The markets were also disappointed when the Bank of England did not expand its quantitative easing program in September 2016 as had been widely expected. |
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | The Fund seeks to achieve its investment objective through investments in different asset classes, geographic regions and security selection strategies in a portfolio primarily of equity, fixed income, real assets and currency asset classes. During the Reporting Period overall, the Fund posted negative absolute returns. At the asset class level, the Fund’s exposures to equity and real assets detracted from performance, while its exposures to fixed income and currencies contributed positively for the Reporting Period as a whole. |
| The Fund’s negative performance within equities was due primarily to underlying security selection in certain active equity strategies as well as tactical country selection. Specifically, the long/short equity strategy was the largest detractor from performance, mainly due to substantial selloffs in several of the strategy’s largest long positions in the health care and financials sectors. Additionally, tactical long positions in European, Japanese and U.S. equities detracted from performance. These losses were offset somewhat by the gains of equity volatility-selling strategies, which seek to benefit from the difference between implied volatility (i.e., expectations of future volatility) and realized volatility (i.e., historical volatility) in equity markets, as market volatility remained relatively low through most of the Reporting Period. |
| The Fund’s positions in real assets also detracted overall during the Reporting Period. More specifically, as commodity prices broadly rebounded in the latter part of the Reporting Period, driven by higher oil prices, the Fund was hampered by tactical short positions in WTI crude oil, zinc and copper. A tactical long position in international real estate securities also detracted from performance, but these losses were largely offset by the gains of a tactical long position in U.S. real estate securities. The Fund benefited from a tactical long position in gold as investors sought perceived safe-haven assets early in 2016. |
| Fixed income positions added to the Fund’s overall results during the Reporting Period. An allocation to high yield corporate bonds was the largest positive contributor, with the asset class (as measured by the Bank of America Merrill Lynch BB to B U.S. High Yield Constrained Index) returning nearly 9% during the Reporting Period, driven by investors’ demand for yield. In addition, a tactical breakeven inflation position, in which the Fund held a long position in Treasury inflation protected securities (“TIPS”) and a short position in U.S. Treasury futures, bolstered returns amid market expectations for increased inflation. (The breakeven inflation rate is the difference between the nominal yield on a fixed-rate investment and the real yield on an inflation-linked investment of similar maturity and credit quality. If inflation averages more than the breakeven, the inflation-linked investment will outperform the fixed-rate. Conversely, if inflation averages below the breakeven, the fixed-rate will outperform the inflation-linked.) Detracting from performance was the Fund’s long U.S. interest rate options strategy (a macroeconomic hedge that buys put options on short-term interest rates), which lagged as shorter-term U.S. Treasury yields rose during the Reporting Period. |
| Currency positions helped performance overall during the Reporting Period, led by the Fund’s holdings in high carry emerging market currencies within the fundamental macro currency strategy and systematic strategies, which benefited from the Fed’s decision not to raise interest rates in September 2016. (A high carry position is one in which there exists a greater difference in yield between a funding source, such as a currency borrowed at a low interest rate, and a long position, such as the holding of a currency with a higher interest rate.) |
| Q | How was the Fund positioned at the beginning of the Reporting Period? |
| A | At the beginning of the Reporting Period, the Fund had approximately 30% of its total net assets in long equity-related positions; approximately 35% of its total net assets in long fixed income-related investments; approximately 14% of its total net assets in long real assets investments; and approximately 17% in long currency-related investments. It had short positions of approximately -13% of its total net assets in equity-related positions; approximately -34% of its total net assets in fixed income-related assets; approximately -6% of its total net assets in real asset investments; and approximately -17% of its total net assets in currency-related investments. These positions were accomplished through the use of equity index futures, equity options, interest rates futures, commodity futures and currency forwards. |
3
PORTFOLIO RESULTS
| Q | How did you tactically manage the Fund’s allocations during the Reporting Period? |
| A | Throughout the Reporting Period, the Fund’s positioning reflected our expectation of continued, albeit muted, global economic expansion and divergent central bank monetary policy. Tactically, this was expressed by the Fund’s exposure to the interest rates of various countries. In February 2016, the Fund initiated a breakeven inflation position, through a long position in TIPS and a short position in U.S. Treasury futures, as we sought to take advantage of increased inflation expectations. We had identified a number of factors, including a tighter U.S. labor market and the Fed’s continued accommodative monetary policy, that we believed could lift inflation expectations in the near term. Early in March 2016, we implemented a short position in 30-year German government bonds and U.S. Treasury securities to express our view that interest rates would rise and fixed income prices would fall as the longer-term growth outlook improved. We exited the Fund’s short position in U.S. Treasury futures during July 2016 and increased its short position in German government bond futures as we believed the Brexit vote had caused German government bond prices to reach levels where the potential return appeared highly attractive. In March 2016, the Fund adopted a steepening position on the U.S. Treasury yield curve, seeking to benefit if rates on longer-term Treasuries rose more than rates on shorter-term Treasuries. (Yield curve is a spectrum of maturities.) We implemented this positioning based on our belief that the markets had overreacted to volatility in early 2016 and were underestimating the speed at which the Fed could raise rates. Through the rest of the Reporting Period, we increased the size of this yield curve steepener, also shifting its position on the U.S. Treasury yield curve, based on our then-current views on interest rates. In July 2016, we established a long position in European high yield corporate bonds and a short position in European investment grade corporate bonds. We believed the ECB’s purchases of non-bank investment grade corporate bonds through its Corporate Sector Purchase Programme (“CSPP”) was likely to incentivize investors to shift into higher-yielding bonds as they rebalanced their portfolios, which could potentially benefit high yield corporate bonds. Through CSPP, which began in June 2016, the ECB is making outright purchases of investment grade euro-denominated bonds issued by non-bank corporations, with the stated goal of further strengthening the pass-through of its asset purchases to the financing conditions of the Eurozone’s real economy. (The real economy is the part of the economy concerned with producing goods and services, rather than that concerned with buying and selling on the financial markets). |
| In addition, during the Reporting Period, we tactically adjusted the Fund’s exposure to U.S. and international developed equities, often using equity index options as we sought to allow the Fund to participate in a portion of the upside if these markets rallied and to mitigate a portion of the downside if these markets retreated. Near the end of 2015, we reduced the Fund’s U.S. equities exposure based on our belief that the late calendar year rally was over and that there was limited room for further gains. Near the end of January 2016, we increased the Fund’s exposure to the U.S. equity market through a combination of equity index options on the S&P 500® Index. U.S. equities had experienced a large decline early in January 2016, and we believed the losses were driven by market technicals, or supply/demand factors, not fundamentals. Also in January 2016, we increased the Fund’s exposure to global equities broadly, as energy prices stabilized and global monetary policy remained accommodative. Near the end of April 2016, we reduced the Fund’s exposure to global equities because we believed the first quarter 2016 rally had run its course and the market might retrace some of its gains. We increased the Fund’s exposure to global equities in early June 2016 as we believed there was scope for further upside in the near term due to continued accommodative Fed policy, improving economic expectations about China and more positive sentiment among investors. At the end of the Reporting Period, we reduced the Fund’s overall equity exposure in anticipation of potential headwinds from the November 2016 U.S. election and a possible December 2016 Fed interest rate hike. |
Within equities, we sought to tactically deploy capital in select countries and sectors to express our macro views. In January 2016, for example, the Fund added exposure to European equities. European equities had sold off significantly since December 2015 on concerns about China’s economic growth and the failure of the ECB to satisfy investor expectations for additional easing. After the ECB reaffirmed its commitment to monetary policy support, we believed European equities would respond positively to expected quantitative easing measures. At the beginning of 2016, we also added a long position in U.S. banks, which had underperformed the broader U.S. equity market as yields fell on decreased expectations of a Fed interest rate hike. In our view, the market had overly punished the banking sector, and we believed loan growth fundamentals remained strong. At the end of April 2016, we initiated a long position in emerging market equities amid signs of improving fundamentals, a |
4
PORTFOLIO RESULTS
softer U.S. dollar, firmer commodity prices, and what we considered overly pessimistic market views about emerging markets broadly. We reduced the size of this long position during September 2016 to take profits. That said, we maintained our positive view of emerging market equities and continued to look for opportunities to add to the Fund’s long position during periods of market weakness. Throughout the Reporting Period, we established tactical long, short or relative value positions in specific emerging market countries to express our views on those countries’ business cycles or politics. Some examples include long positions in Indian and Singaporean equities; a short position in Brazilian equities; a relative value position in which the Fund was long Thailand equities and short Malaysian equities; and a relative value position in which the Fund was long Chinese H shares and short Chinese A shares. (Chinese H shares are shares of companies incorporated in mainland China that are listed on the Hong Kong Stock Exchange or other foreign exchange. Chinese A shares are shares of mainland China-based companies that trade on the Shanghai Stock Exchange and the Shenzhen Stock Exchange.) During July 2016, we adopted a long position in equity index options on the Financial Times Stock Exchange (“FTSE”) 100 Index versus a short position in equity index options on the FTSE 250 Index. We believed the FTSE 250 Index’s U.K.-based small-cap companies that focus mainly on U.K. domestic markets would be hurt more by Brexit than the FTSE 100 Index’s U.K.-based large-cap companies that generally have more exposure to international revenue. In August 2016, we established a long position in real estate investment trusts (“REITs”) and a tactical short position in U.S. utilities stocks based on our belief that the global search for yield had led to the heavy buying of equities with bond-like characteristics. More specifically, we believed that despite the challenging earnings outlook for utilities companies, their stock valuations had become stretched because investors favored them for their yield. At the same time, we believed REITs had attractive fundamentals and fair valuations. Also in September 2016, we added a long position in Spanish equities and a short position in European equites. The Spanish economy expanded at twice the rate of the Eurozone economy during the fourth quarter of 2015 and during the first, second and third quarters of 2016, a trend we expected to continue. We also believed market expectations about increasing tourism and improvement in the banking sector would likely support Spain’s equity market. |
| We also expressed our macro views during the Reporting Period by tactically managing a basket of currencies. Overall, we used the basket of currencies to express our views on the monetary and inflationary environment across developed and emerging market countries and on slowing economic growth in China and in other emerging market countries. In particular, we concentrated on high carry currency positions within emerging market countries. |
| In addition to tactical positions expressing our fundamental views, the Fund also invested in systematic trend-following strategies that tactically shifted the Fund’s exposure among equity, fixed income, commodities and currency asset classes. These strategies seek to profit from price trends across and within asset classes as investors react to new information. |
| Finally, we sought to manage the Fund’s risk exposure and to add a number of diversifying positions with the aim of protecting the Fund in “risk-off” environments. In particular, we used tactical positions in real assets to help diversify the Fund’s sensitivity to global economic growth. To this end, we added a long position in gold during December 2015. The Fund exited the position in March 2016. Throughout the Reporting Period, we took various tactical views on oil — both long and short — as we sought to manage risk and take advantage of market mispricing. During February 2016, we initiated a short position in copper, which was removed in September 2016, as we sought to hedge against the potential of Chinese economic growth disappointments. For the same reason, we established a short position in zinc at the end of June 2016. China consumes approximately half of the world’s zinc and any slowdown in Chinese demand could be damaging for zinc prices. Specifically related to Brexit, we positioned the Fund defensively in advance of the June 2016 referendum, reducing its long exposure to European equities and adding S&P 500® Index and EURO STOXX 50® put options. We also added a short position in Italian government bonds and a long position in German government bonds to mitigate potential Brexit-related volatility, removing both positions in July 2016 after we believed the risk had subsided. Following the Brexit vote, we also sought to take advantage of potential market opportunities, in one case establishing a short position in the British pound. In October 2016, we assumed a short position in WTI crude oil as we believed the rally in oil prices would be capped due to a potentially greater supply of U.S. shale output. Additionally, we did not expect to see an enforceable OPEC production agreement that would have a significant impact on the supply/demand imbalance in the crude oil markets. |
5
PORTFOLIO RESULTS
| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | During the Reporting Period, the Fund used exchange-traded index futures contracts to gain short exposure to U.S. large-cap equities (negative impact on performance); long exposure to U.S. small-cap equities (positive impact); long and short exposure to non-U.S. developed markets equities (positive impact); long exposure to regional equity markets in Europe (negative impact); long exposure to Japanese equities (negative impact); and long exposure to regional equities in Taiwan, China and India (all of which had a positive impact). |
| Interest rate futures, which were used to manage the Fund’s interest rate exposures and to facilitate the implementation of specific duration and yield curve views, had a neutral to slightly negative impact on performance. The Fund’s use of U.S. Treasury futures, employed as part of its breakeven inflation position during the Reporting Period, added positively to results. The Fund’s use of U.S. Treasury futures and German bund futures to gain access to U.S. and German government bonds had a negative impact on performance. In addition, the Fund used options on Eurodollar futures to take tactical positions on the U.S. interest rate yield curve, which had no impact on performance during the Reporting Period. (Different positions may be taken within the Fund based on expectations of changes in interest rates and expectations of changes in the yield curve. Changes in the shape of the yield curve will change the relative price of bonds represented by the curve.) |
| In addition, the Fund used listed equity options to gain or reduce exposure to the equity markets of certain countries. Specifically, the Fund benefited from its use of listed equity options to modulate the Fund’s participation in the performance of global large-cap equities. Conversely, the use of options on fixed income assets to obtain exposure to government bonds broadly, high yield corporate bonds and short-term U.S. interest rates detracted from performance. |
| A specialized index of credit default swaps (“CDX”) was employed during the Reporting Period to modulate the Fund’s exposure to U.S. investment grade credit and high yield credit, which had a positive impact on performance overall. |
| Options and futures on individual commodities and total return swaps on commodity indices were also used to implement directional views or to implement systematic curve and carry strategies, which overall had a modestly positive impact on performance. |
| In addition, the Fund used foreign exchange currency forward contracts to take long and short positions in select non-U.S. developed markets and in emerging markets as well as to take advantage of relative-value, momentum-based investment opportunities. These instruments added to the Fund’s performance during the Reporting Period overall. Lastly, the Fund obtained exposure to the underlying asset classes through the use of underlying funds, which may also invest in derivatives to provide exposure to equity, fixed income and commodity asset classes. Derivatives and similar instruments allow us to manage interest rate, credit and currency risks more effectively by allowing us both to apply active investment views with greater versatility and to afford greater risk management precision than we would otherwise be able to implement. |
| Q | How was the Fund positioned at the end of the Reporting Period? |
| A | At the end of the Reporting Period, the Fund had approximately 36% of its total net assets in long equity-related investments; approximately 52% of its total net assets in long fixed income-related investments; approximately 15% of its total net assets in long real assets investments; and approximately 15% of its total net assets in long currency-related investments. It had short positions of approximately -22% of its total net assets in equity-related investments; approximately -40% of its total net assets in fixed income-related assets; approximately -7% of its total net assets in real asset investments; and approximately -20% of its total net assets in currency-related investments. These positions were accomplished through the use of equity index futures, equity options, interest rates futures, commodity futures and currency forwards. |
| Q | What is the Fund’s tactical asset allocation view and strategy for the months ahead? |
| A | At the end of the Reporting Period, we expected continued global economic growth, with the world economy likely, in our view, to expand in 2016 at a pace similar to that of 2015. Within the U.S., improving macroeconomic data supported our view of ongoing economic expansion. Given that inflationary pressures were, in our opinion, gradually building and that the labor market appeared to be nearing full employment, we believed at the end of the Reporting Period that the markets were underestimating the pace of potential Fed interest rate hikes. (Full employment means the highest amount of skilled and unskilled labor that can be employed within an economy at any given time.) In line with market expectations, we believed the Fed would raise interest rates |
6
PORTFOLIO RESULTS
in December 2016. Outside of the U.S., we remained constructive on the outlook for the Eurozone and thought the effects of the Brexit referendum would be manageable, with economic momentum likely to be more positive than the markets anticipate. |
| In terms of equities at the end of the Reporting Period, we continued to be pro-risk and pro-growth. However, we expect limited but positive equity returns in the near term. Accordingly, we have reduced equity exposure based on directional views and are focusing on more relative-value investment opportunities. We intend to seek to take advantage of potential market weakness and mispricing in an environment where we expect market returns and volatility may remain largely range bound. Overall, we believe a dynamic approach may be rewarded given the potential for idiosyncratic events as well as sentiment-driven market performance based on rising inflation concerns, potential Fed interest rate hikes, the risk of a China hard landing or recession, and continued oil price uncertainty. Also, at the end of the Reporting Period, we had a broadly positive view of emerging market equities, particularly relative to developed market equities, as better economic data, dovish global central bank policy and a stronger U.S. dollar appear to have helped improve investor sentiment for the asset class. Emerging market equities meaningfully outperformed developed market equities from January through the end of October 2016 as investors’ search for yield intensified. That said, if we see a retreat in the near term, we may become even more constructive on emerging market equities. |
| In terms of fixed income, we were bearish at the end of the Reporting Period on government bonds in general. In our view, they could sell off rapidly in response to an inflation surprise. Overall, we believed the risk-reward profile of fixed income was less attractive than that of equities, and at the end of the Reporting Period, we generally favored corporate credit over government bonds. We maintained the Fund’s underweight in investment grade fixed income. |
| Regarding real assets at the end of the Reporting Period, we believed that crude oil prices materially higher than $50 a barrel would incentivize new supply, effectively putting a cap on any rally. In terms of currencies, we anticipated the U.S. dollar would likely strengthen as U.S. interest rates rise. We also believed the ECB is unlikely to weaken the euro much further, as it is seeking to boost economic growth through corporate bond purchases rather than through currency depreciation. Relative to Japan, weak wage growth and low to slowing inflation argue, we think, for additional BoJ easing and a weaker Japanese yen. We also believed the Chinese renminbi may remain under pressure in the near term from continued gradual capital outflows. |
| (Following the end of the Reporting Period, the U.S. presidential election surprised markets with a Donald Trump win over Hillary Clinton. Immediately afterwards, investors appeared to respond positively, as evidenced by a rally in the equities market, a surge in the U.S. dollar and a sharp rise in interest rates. In our view, these moves were related to both sentiment and market technicals as investors broadly corrected the positioning of their portfolios. That said, the Fund’s positioning did not change significantly, given that we do not expect the nearer-term economic growth outlook to change as a result of the election. However, we are mindful of the potential for an overreaction in the markets and are watching closely for attractive short-term tactical opportunities. |
| In the coming months, we expect economic uncertainty to dominate the markets since the implications of a Trump victory remain unclear, particularly related to fiscal policy and monetary policy. The new administration may, in our view, be supportive of employment through fiscal stimulus, tax reform and deregulation. We remain cautiously positive that the environment will remain favorable for riskier asset classes as the business cycle approaches the end of the expansion phase. In our opinion, we expect firming economic data to be counterbalanced by rising interest rates and trade protectionism, which could, we believe, dampen the surge in risk appetite seen after the presidential election.) |
7
FUND BASICS
Goldman Sachs Absolute Return Multi-Asset Fund
as of October 31, 2016
| PERFORMANCE REVIEW | ||||||||||
| November 1, 2015–October 31, 2016 | Fund Total Return (based on NAV)1 | BofA ML U.S. Dollar 3-Month LIBOR Constant Maturity Index2 | ||||||||
| Class A | -1.36 | % | 0.54 | % | ||||||
| Class C | -2.01 | 0.54 | ||||||||
| Institutional | -0.93 | 0.54 | ||||||||
| Class IR | -1.18 | 0.54 | ||||||||
| Class R | -1.64 | 0.54 | ||||||||
| Class R6 | -0.92 | 0.54 | ||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Fund’s benchmark index is the Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Maturity Index (the “Index”). The Index tracks the performance of a synthetic asset paying LIBOR to a stated maturity. |
| STANDARDIZED TOTAL RETURNS3 | ||||||||||||
| For the period ended 9/30/16 | One Year | Since Inception | Inception Date | |||||||||
| Class A | -6.31 | % | -6.44 | % | 9/2/2015 | |||||||
| Class C | -2.59 | -2.22 | 9/2/2015 | |||||||||
| Institutional | -0.52 | -1.13 | 9/2/2015 | |||||||||
| Class IR | -0.67 | -1.27 | 9/2/2015 | |||||||||
| Class R | -1.24 | -1.79 | 9/2/2015 | |||||||||
| Class R6 | -0.41 | -1.03 | 9/2/2015 | |||||||||
| 3 | The Standardized Total Returns are average annual or cumulative total returns for periods less than 1 year as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
8
FUND BASICS
| EXPENSE RATIOS4 | ||||||||||
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Class A | 1.48 | % | 3.88 | % | ||||||
| Class C | 2.23 | 4.63 | ||||||||
| Institutional | 1.08 | 3.48 | ||||||||
| Class IR | 1.23 | 3.63 | ||||||||
| Class R | 1.73 | 4.13 | ||||||||
| Class R6 | 1.06 | 3.46 | ||||||||
| 4 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least February 26, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
| TOP TEN HOLDINGS AS OF 10/31/165 | ||||||||
| Holding | % of Net Assets | Line of Business | ||||||
| Goldman Sachs Financial Square Government Fund | 36.8 | % | Investment Companies | |||||
| Goldman Sachs Fixed Income Macro Strategies Fund | 9.9 | Investment Companies | ||||||
| Goldman Sachs Inflation Protected Securities Fund | 6.0 | Investment Companies | ||||||
| Goldman Sachs Long Short Fund | 5.1 | Investment Companies | ||||||
| Goldman Sachs High Yield Fund | 4.7 | Investment Companies | ||||||
| Goldman Sachs Real Estate Securities Fund | 4.5 | Investment Companies | ||||||
| United States Treasury Bills | 4.1 | U.S. Treasury Obligations | ||||||
| Goldman Sachs International Real Estate Securities Fund | 3.4 | Investment Companies | ||||||
| Goldman Sachs Long Short Credit Strategies Fund | 2.0 | Investment Companies | ||||||
| iShares JPMorgan USD Emerging Markets Bond ETF | 1.2 | Exchange Traded Funds | ||||||
| 5 | The top 10 holdings may not be representative of the Fund’s future investments. |
9
FUND BASICS
| SECTOR ALLOCATION6 | ||
| As of October 31, 2016 | ||
 | ||
| 6 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Underlying sector allocations of Exchange Traded Funds and Investment Companies held by the Fund are not reflected in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
10
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Performance Summary
October 31, 2016
The following graph shows the value, as of October 31, 2016, of a $1,000,000 investment made on September 2, 2015 (commencement of operations) in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Maturity Index is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class A, Class C, Class IR, Class R and Class R6 Shares will vary from that of Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund.
| Absolute Return Multi-Asset Fund’s Lifetime Performance |
Performance of a $1,000,000 Investment, including any applicable sales charges, with distributions reinvested, from September 2, 2015 through October 31, 2016.
| Average Annual Total Return through October 31, 2016 | One Year | Since Inception | ||||||
Class A Shares (Commenced September 2, 2015) | ||||||||
Excluding contingent deferred sales charges | -1.36% | -1.76% | ||||||
Including contingent deferred sales charges | -6.79% | -6.40% | ||||||
| ||||||||
Class C Shares (Commenced September 2, 2015) | ||||||||
Excluding contingent deferred sales charges | -2.01% | -2.49% | ||||||
Including contingent deferred sales charges | -2.99% | -2.49% | ||||||
| ||||||||
Institutional Shares (Commenced September 2, 2015) | -0.93% | -1.39% | ||||||
| ||||||||
Class IR Shares (Commenced September 2, 2015) | -1.18% | -1.61% | ||||||
| ||||||||
Class R Shares (Commenced September 2, 2015) | -1.64% | -2.09% | ||||||
| ||||||||
Class R6 Shares (Commenced September 2, 2015) | -0.92% | -1.38% | ||||||
| ||||||||
11
GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
What Differentiates Goldman Sachs Multi-Asset Real Return Fund’s Investment Process?
The Goldman Sachs Multi-Asset Real Return Fund (the “Fund”) seeks to achieve long-term real return. The Fund invests primarily in a portfolio of equity, fixed income and commodity securities in an attempt to perform favorably in rising or high inflationary environments. The Fund seeks to provide exposure beyond traditional asset classes to protect against a broader set of inflation catalysts in various market environments.
| n | Inflation-sensitive assets tend to move in the same direction as inflation which may preserve real portfolio returns. |
| n | We seek to provide access to investments that have historically provided the necessary growth to protect purchasing power in periods of high or rising inflation. |
| n | Traditional stocks and bonds may not be able to provide the necessary diversification to improve portfolio returns across changing market environments. |
| n | The Fund invests in a diversified portfolio in an attempt to provide investors with lower volatility over the long-term. |
| n | We utilize a comprehensive investment process that opportunistically shifts portfolio assets through long-term strategic allocation, tactical adjustments, underlying security selection and active risk management. |
| n | The flexibility in our investment process helps us to respond to ever-changing markets and to balance the portfolio’s risk and potential return. |
| n | We have a robust risk management framework, with multiple layers of oversight at the strategic allocation, security selection and firm levels. |
12
PORTFOLIO RESULTS
Goldman Sachs Multi-Asset Real Return Fund
Investment Objective
The Fund seeks to achieve long-term real return.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Global Portfolio Solutions Team discusses the Goldman Sachs Multi-Asset Real Return Fund’s (the “Fund”) performance and positioning for the 12-month period ended October 31, 2016 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional, IR and R Shares generated average annual total returns, without sales charges, of 0.46%, -0.23%, 0.80%, 0.78% and 0.23%, respectively. These returns compare to the 4.66% average annual total return of the Fund’s benchmark, the Bloomberg Barclays 1-10 Year U.S. TIPS Index (the “Index”), during the same time period. |
| During the period from their inception on February 26, 2016 through October 31, 2016, the Fund’s Class R6 Shares generated a cumulative total return of 8.32% compared to the 3.48% cumulative total return of the Index. |
| Q | What economic and market factors most influenced the Fund during the Reporting Period? |
| A | Global equities, as represented by the MSCI World Index, posted positive returns during the Reporting Period, rebounding from sharp losses suffered at the beginning of 2016. Emerging market stocks were among the best performing asset classes during the Reporting Period overall, with the MSCI Emerging Markets Index recording a gain of more than 9%. Meanwhile, bond prices increased in many developed economies as yields, including those on 10-year U.S. and Eurozone government bonds fell. The U.S. dollar strengthened against most developed markets currencies, including the Japanese yen, the euro and the British pound. The British pound fell to a 30-year low versus the U.S. dollar after the U.K.’s surprise “leave” vote in its referendum about membership in the European Union, popularly known as Brexit. Commodities generated negative returns, primarily due to a sell-off in crude oil prices amid oversupply that occurred early in the Reporting Period. The price of West Texas Intermediate (“WTI”) crude oil, for example, declined at the beginning of the Reporting Period and fell to a 12-year low in mid-January 2016 before increasing through the end of the Reporting Period. Still, WTI crude oil prices remained well below their historic average when the Reporting Period came to a close, despite the announcement in September 2016 that members of the Organization of Petroleum Exporting Countries (“OPEC”) had agreed to limit output for the first time in eight years. |
| A relatively low inflationary environment persisted through the Reporting Period as many global central banks maintained generally accommodative monetary policies, energy prices remained low by historical standards and global economic growth was muted. In the U.S., the Federal Reserve (“Fed”) hiked interest rates in December 2015 for the first time since 2006. Market expectations for further interest rate hikes remained low through much of the rest of the Reporting Period due to global economic growth concerns and mixed macro data. That said, inflation indicators picked up toward the end of the Reporting Period, prompting somewhat higher inflation expectations by investors, particularly in the U.S. In October 2016, the U.S. Bureau of Labor Statistics announced that the Consumer Price Index (“CPI”) rose 1.5% during the 12 months through September 2016, while core inflation (which excludes food and energy prices) remained at a more stable 2.2%, with price increases mainly in housing and medical care. These readings, along with a recovery in energy prices and coupled with positive U.S. macroeconomic data later in the Reporting Period, were supportive for inflation-sensitive asset classes, particularly Treasury inflation protected securities (“TIPS”), which (as represented by the Bloomberg Barclays U.S. Treasury Inflation-Linked Bond Index) were up 5.6% during the Reporting Period. |
13
PORTFOLIO RESULTS
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | In seeking its objective to achieve long-term real return, the Fund invests in a diversified portfolio of inflation-sensitive equity, fixed income and commodity securities and exposures. (Real return is the return on an investment in excess of inflation.) The Fund’s portfolio managers seek to address the multiple potential drivers of inflation by allocating across these diversified exposures in what we determine to be a balanced way. This sets the Fund’s strategic asset allocation, which was the primary source of the Fund’s underperformance relative to the Index during the Reporting Period. |
| The underperformance of the Fund’s strategic asset allocation was due mainly to its exposure to commodities, which was hurt by oil price volatility as well as by prices that were below their longer-term levels. In addition, the Fund was hampered by its underweight in TIPS relative to the Index. TIPS performed well during the Reporting Period, outpacing conventional U.S. Treasury securities, as breakeven inflation levels were positively impacted by a rally in energy prices and positive economic indicators. (The breakeven inflation rate is the difference between the nominal yield on a fixed-rate investment and the real yield on an inflation-linked investment of similar maturity and credit quality. If inflation averages more than the breakeven, the inflation-linked investment will outperform the fixed-rate. Conversely, if inflation averages below the breakeven, the fixed-rate will outperform the inflation-linked.) On the positive side, a strategic allocation to U.S. equities, which benefited from improving economic data, added to performance. The Fund was also helped by its strategic allocation to real assets, including U.S. real estate securities and global infrastructure securities, as interest rates remained low and global central bank monetary policy stayed accommodative. |
| Tactical asset allocation overall also modestly detracted from the Fund’s results during the Reporting Period. As mentioned earlier, in seeking its objective to achieve long-term real return, the Fund will allocate to a set of asset classes that we believe are sensitive to different sources of inflation. We adjust the relative sizing of these exposures based on a shorter investment horizon that reflects tactical market views. Relative to the Fund’s strategic asset allocation, the Fund was tactically overweight equities and riskier asset classes in general. It was tactically underweight fixed income, commodities and infrastructure securities. During the Reporting Period, the Fund was hurt by its overweight position in European equities and its underweights in unconstrained fixed income and infrastructure securities. Conversely, the Fund’s underweight in commodities and its overweight in master limited partnerships (“MLPs”) added to performance. |
| Underlying fund implementation and security selection detracted from the Fund’s returns. However, the Fund’s unconstrained fixed income strategy contributed positively, led by strong country selection and exposure to structured credit. |
| Q | How was the Fund positioned during the Reporting Period? |
| A | At the start of the Reporting Period, the Fund had approximately 8.0% of its total net assets invested in commodity-related investments; approximately 47.9% of its total net assets invested in equity-related investments; approximately 31.5% of its total net assets invested in fixed income-related investments; and approximately 12.6% of its total net assets invested in cash and cash equivalents. The strategic asset allocation of the Fund reflects a risk-based allocation approach to increase diversification across the portfolio. |
| Q | How did you tactically manage the Fund’s allocations during the Reporting Period? |
| A | During the Reporting Period, positioning within the Fund was adjusted to reflect our expectations that moderately positive global economic growth would continue, led by the U.S. and, to a lesser extent, other developed markets. Strategically, this positioning translated into a positive view on riskier asset classes based on our belief that the U.S. economy was helping to sustain overall levels of global economic growth. This was expressed through the Fund’s broad tilt toward U.S. and other developed market equities, which was modulated based on regional and sector exposure views. In early 2016, we decided to reduce the Fund’s exposure to commodities due to continued weakness in the energy sector and, importantly, a high level of market uncertainty about the prospect of and timing for firming in oil prices. As inventory levels remained elevated and production had not significantly decelerated, we did not expect commodities to be a meaningful driver of rising inflation expectations, and we believed global equity returns would be more sensitive to improving economic growth. Additionally, during the Reporting Period overall, we expressed our view that U.S. interest rates would increase by positioning the Fund in the front, or short-term, end of the yield curve, which is more sensitive than the longer-term end |
14
PORTFOLIO RESULTS
to changes in interest rates. (Yield curve is a spectrum of maturities.) |
| In terms of our tactical positioning, and given our view on building inflationary pressures in the U.S., we increased the size of the existing Fund’s breakeven inflation position, wherein the Fund was long TIPS and short U.S. Treasury futures, as we sought to take advantage of any increase in the market’s inflation expectations. In our opinion, base effects might lift U.S. inflation meaningfully in the near term, which — combined with a tighter U.S. labor market and continued accommodative monetary policy from the Fed — could lead to an inflation scare. (Base effects are the consequence of abnormally high or low levels of inflation in a previous month that distort headline inflation numbers for the most recent month. A base effect can make it difficult to accurately assess inflation levels over time.) |
| We continued to tactically manage a basket of currencies to express our views on the monetary and inflationary environment across developed and emerging market countries. During the Reporting Period, we used this basket of currencies to express our views on slowing economic growth in China and other select emerging market countries. We also used it to express our view that lower commodity prices should have a positive impact on the currencies of commodity importers and a negative impact on the currencies of commodity exporters. |
| Additionally, during the Reporting Period, we took advantage of opportunities to assume tactical long or short positions in oil-linked asset classes. For example, the Fund held a short position in commodities and energy-related equities relative to a long position in MLPs, which we modulated throughout the Reporting Period. Also within the Fund’s commodities allocation, we implemented a long position in gold during December 2015 to diversify the Fund’s sensitivity to global economic growth. The Fund exited the position in gold in March 2016. |
| Within the Fund’s allocation to equities, we modulated developed market exposure during the Reporting Period. We adopted a long position in Japanese stocks during February 2016 on the belief they would perform well in the near to medium term because of the Bank of Japan’s (“BoJ”) monetary policy support and Japan’s improving corporate fundamentals. Also in February 2016, we implemented a long position in U.S. bank stocks as the sector had underperformed the broad global stock market on concerns about European banks. We thought the selloff had been excessive and that fundamentals, such as loan growth, a focus on expense controls and adequate capital support, buttressed the sector. As we believed a more dynamic approach might be helpful in an uncertain market environment, we selectively took long positions in Spanish equities versus broader European equities in September 2016. |
| Within fixed income, we established a short position in 30-year U.S. Treasuries during April 2016 because, in our view, the market was underpricing the possibility of future interest rate hikes given the slow pace of Fed action during the Reporting Period. Should expectations around interest rates and inflation normalize, we believe the Fund could benefit from a shift up at the back end, or longer-term segment, of the yield curve. In July 2016, we chose to take long positions in emerging market debt; we then halved the position later in the Reporting Period. This was predicated on our positive long-term growth outlook for emerging market debt and balanced by our belief that the asset class had become more crowded since we had initiated the Fund’s position. |
| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | During the Reporting Period, the Fund used options on Eurodollar futures to take tactical positions on the U.S. interest rate yield curve, which detracted from performance. (Different positions may be taken within the Fund based on expectations of changes in interest rates and expectations of changes in the yield curve. Changes in the shape of the yield curve will change the relative price of bonds represented by the curve.) The Fund employed equity index futures during the Reporting Period to tactically adjust the amount of risk incurred from exposure to equities in Europe (negative impact on Fund performance), Japan (negative impact), U.S. (neutral impact), India (positive impact) and Spain (positive impact). The Fund also sold U.S. Treasury futures to hedge duration as part of a breakeven inflation position, as we sought to take advantage of an increase in U.S. inflation expectations. These instruments had a negative impact on performance during the Reporting Period. Furthermore, the Fund employed forward foreign currency contracts to take long and short positions in developed and emerging markets currencies. The use of forward foreign currency contracts had a modestly positive impact on the Fund’s performance during the Reporting Period. In addition, some of the Fund’s underlying fund investments used derivatives during the Reporting Period to manage duration along the yield curve, to apply their active investment views with greater versatility, to seek greater risk management precision and to gain exposure to equity, fixed income and commodity asset classes. |
15
PORTFOLIO RESULTS
| Q | How was the Fund positioned at the end of the Reporting Period? |
| A | At the end of the Reporting Period, the Fund had approximately 1.1% of its total net assets invested in commodity-related investments; approximately 43.5% of its total net assets invested in equity-related investments; approximately 27.0% of its total net assets invested in fixed income-related investments; and approximately 28.4% of its total net assets invested in cash and cash equivalents. |
| Q | What is the Fund’s tactical asset allocation view and strategy for the months ahead? |
| A | At the end of the Reporting Period, we expected continued global economic growth, with the world economy likely, in our view, to expand in 2016 at a pace similar to that of 2015. Within the U.S., improving macroeconomic data supported our view of ongoing economic expansion. Given that inflationary pressures were, in our opinion, gradually building and that the labor market appeared to be nearing full employment, we believed at the end of the Reporting Period that the markets were underestimating the pace of potential Fed interest rate hikes. (Full employment means the highest amount of skilled and unskilled labor that can be employed within an economy at any given time.) In line with market expectations, we believed the Fed would raise interest rates in December 2016. |
| In general, we remained bearish on government bonds at the end of the Reporting Period. In our view, they could sell off rapidly in response to an inflation scare, which could also lead to a temporary retreat for riskier asset classes generally. Given our views, we believed the Fund was well positioned at the end of the Reporting Period to perform well in a variety of inflationary environments, and we planned to continue seeking opportunities to incorporate our tactical market views on a shorter-term basis. |
| (Following the end of the Reporting Period, the U.S. presidential election surprised markets with a Donald Trump win over Hillary Clinton. Immediately afterwards, investors appeared to respond positively, as evidenced by a rally in the equities market, a surge in the U.S. dollar and a sharp rise in interest rates. In our view, these moves were related to both sentiment and market technicals as investors broadly corrected the positioning of their portfolios. That said, the Fund’s positioning did not change significantly, given that we do not expect the nearer-term economic growth outlook to change as a result of the election. However, we are mindful of the potential for an overreaction in the markets and are watching closely for attractive short-term tactical opportunities. |
| In the coming months, we expect economic uncertainty to dominate the markets since the implications of a Trump victory remain unclear, particularly related to fiscal policy and monetary policy. The new administration may, in our view, be supportive of employment through fiscal stimulus, tax reform and deregulation. We remain cautiously positive that the environment will remain favorable for riskier asset classes as the business cycle approaches the end of the expansion phase. In our opinion, we expect firming economic data to be counterbalanced by rising interest rates and trade protectionism, which could, we believe, dampen the surge in risk appetite seen after the presidential election.) |
On October 19, 2016, the Board of Trustees of the Goldman Sachs Trust approved a proposal to liquidate the Goldman Sachs Multi-Asset Real Return Fund. The liquidation is expected to occur during December 2016.
16
FUND BASICS
Goldman Sachs Multi-Asset Real Return Fund
as of October 31, 2016
| PERFORMANCE REVIEW | ||||||||||
| November 1, 2015–October 31, 2016 | Fund Total Return (based on NAV)1 | Bloomberg Barclays 1-10 Year U.S. TIPS Index2 | ||||||||
| Class A | 0.46 | % | 4.66 | % | ||||||
| Class C | -0.23 | 4.66 | ||||||||
| Institutional | 0.80 | 4.66 | ||||||||
| Class IR | 0.78 | 4.66 | ||||||||
| Class R | 0.23 | 4.66 | ||||||||
| February 26, 2016–October 31, 2016 | ||||||||||
| Class R6 | 8.32 | % | 3.48 | % | ||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Bloomberg Barclays 1-10 Year U.S. TIPS Index is an unmanaged index comprised of U.S. Treasury Inflation Protected securities having a maturity of at least 1 year and less than 10 years. It is not possible to invest in an unmanaged index. |
| STANDARDIZED TOTAL RETURNS3 | ||||||||||||
| For the period ended 9/30/16 | One Year | Since Inception | Inception Date | |||||||||
| Class A | 0.57 | % | -1.40 | % | 8/30/2013 | |||||||
| Class C | 4.48 | -0.37 | 8/30/2013 | |||||||||
| Institutional | 6.79 | 0.79 | 8/30/2013 | |||||||||
| Class IR | 6.77 | 0.68 | 8/30/2013 | |||||||||
| Class R | 6.07 | 0.14 | 8/30/2013 | |||||||||
| Class R6 | N/A | 10.05 | 2/26/2016 | |||||||||
| 3 | The Standardized Total Returns are average annual or cumulative total returns for periods less than 1 year as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
17
FUND BASICS
| EXPENSE RATIOS4 | ||||||||||
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Class A | 1.12 | % | 4.16 | % | ||||||
| Class C | 1.87 | 4.90 | ||||||||
| Institutional | 0.72 | 3.77 | ||||||||
| Class IR | 0.87 | 3.91 | ||||||||
| Class R | 1.37 | 4.41 | ||||||||
| Class R6 | 0.70 | 3.75 | ||||||||
| 4 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the waivers and/or expense limitations will remain in place through at least February 26, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
| TOP TEN HOLDINGS AS OF 10/31/165 | ||||||||
| Holding | % of Net Assets | Line of Business | ||||||
| Goldman Sachs Inflation Protected Securities Fund | 35.6 | % | Investment Company | |||||
| Goldman Sachs Financial Square Government Fund | 11.7 | Investment Company | ||||||
| Goldman Sachs Strategic Income Fund | 9.1 | Investment Company | ||||||
| Goldman Sachs Local Emerging Markets Debt Fund | 2.5 | Investment Company | ||||||
| iShares Global Infrastructure ETF | 2.2 | Exchange Traded Funds | ||||||
| Enterprise Products Partners LP | 1.2 | Oil, Gas & Consumable Fuels | ||||||
| Goldman Sachs Commodity Strategy Fund | 1.1 | Investment Company | ||||||
| Plains All American Pipeline LP | 1.0 | Oil, Gas & Consumable Fuels | ||||||
| Magellan Midstream Partners LP | 1.0 | Oil, Gas & Consumable Fuels | ||||||
| Energy Transfer Partners LP | 0.9 | Oil, Gas & Consumable Fuels | ||||||
| 5 | The top 10 holdings may not be representative of the Fund’s future investments. |
18
FUND BASICS
| SECTOR ALLOCATION (%)6 | ||
| As of October 31, 2016 | ||
 | ||
| 6 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Underlying sector allocations of Exchange Traded Funds and Investment Companies held by the Fund are not reflected in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
19
GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
Performance Summary
October 31, 2016
The following graph shows the value, as of October 31, 2016, of a $1,000,000 investment made on August 30, 2013 (commencement of operations) in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Bloomberg Barclays 1-10 Year U.S. TIPS Index is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class A, Class C, Class IR, Class R and Class R6 Shares will vary from that of Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund.
| Multi-Asset Real Return Fund’s Lifetime Performance |
Performance of a $1,000,000 Investment, including any applicable sales charges, with distributions reinvested, from August 30, 2013 through October 31, 2016.
| Average Annual Total Return through October 31, 2016 | One Year | Since Inception | ||||||
Class A Shares (Commenced August 30, 2013) | ||||||||
Excluding contingent deferred sales charges | 0.46% | -0.09% | ||||||
Including contingent deferred sales charges | -5.04% | -1.85% | ||||||
| ||||||||
Class C Shares (Commenced August 30, 2013) | ||||||||
Excluding contingent deferred sales charges | -0.23% | -0.85% | ||||||
Including contingent deferred sales charges | -1.22% | -0.85% | ||||||
| ||||||||
Institutional Shares (Commenced August 30, 2013) | 0.80% | 0.27% | ||||||
| ||||||||
Class IR Shares (Commenced August 30, 2013) | 0.78% | 0.16% | ||||||
| ||||||||
Class R Shares (Commenced August 30, 2013) | 0.23% | -0.36% | ||||||
| ||||||||
Class R6 Shares (Commenced February 26, 2016) | N/A | 8.32%* | ||||||
| ||||||||
| * | Total return for periods of less than one year represents cumulative total return. |
20
FUND BASICS
Index Definitions
Absolute Return Multi-Asset
The Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Maturity Index is based on the assumed purchase of a synthetic instrument having three months to maturity and with a coupon equal to the closing quote for Three-Month LIBOR. That issue is sold the following day (priced at a yield equal to the current day closing Three-Month LIBOR rate) and is rolled into a new Three-Month instrument. The index, therefore, will always have a constant maturity equal to exactly three months.
The S&P 500® Index is a U.S. stock market index based on the market capitalizations of 500 large companies having common stock listed on the New York Stock Exchange or NASDAQ. The S&P 500® Index components and their weightings are determined by S&P Dow Jones Indices.
The MSCI World Index represents large- and mid-cap equity performance across 23 developed markets countries, covering approximately 85% of the free float-adjusted market capitalization in each. This index offers a broad global equity benchmark, without emerging markets exposure.
The MSCI Emerging Markets Index captures large-cap and mid-cap representation across 23 emerging markets countries. The index covers approximately 85% of the free float-adjusted market capitalization in each country. Emerging markets countries in the index include Brazil, Chile, China, Colombia, the Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Peru, the Philippines, Poland, Russia, Qatar, South Africa, Taiwan, Thailand, Turkey and the United Arab Emirates.
The Bank of America Merrill Lynch BB to B U.S. High Yield Constrained Index contains all securities in the Bank of America Merrill Lynch U.S. High Yield Index rated BB1 through B3 (based on an average of Moody’s Investors Service, S&P Ratings and Fitch Ratings) but caps issuer exposure at 2%. The Index is rebalanced on the last calendar day of the month.
The FTSE (Financial Times Stock Exchange) 100 Index covers 100 of the largest companies traded on the London Stock Exchange.
The FTSE 250 Index is a capitalization-weighted index consisting of the 101st to the 350th largest companies listed on the London Stock Exchange.
The EURO STOXX 50® Index, Europe’s leading blue-chip index for the Eurozone, provides a blue-chip representation of super-sector leaders in the Eurozone.
21
FUND BASICS
Index Definitions (continued)
Multi-Asset Real Return
The Bloomberg Barclays 1-10 Year U.S. TIPS Index represents securities that protect against adverse inflation and provide a minimum level of real return. To be included in this index, bonds must have cash flows linked to an inflation index, be sovereign issues denominated in U.S. currency, and have between one and 10 years to maturity, and, as a portion of the index, total a minimum amount outstanding of 100 million U.S. dollars. Individuals cannot invest directly in an index.
The S&P 500® Index is a U.S. stock market index based on the market capitalizations of 500 large companies having common stock listed on the New York Stock Exchange or NASDAQ. The S&P 500® Index components and their weightings are determined by S&P Dow Jones Indices.
The MSCI World Index represents large- and mid-cap equity performance across 23 developed markets countries, covering approximately 85% of the free float-adjusted market capitalization in each. This index offers a broad global equity benchmark, without emerging markets exposure.
The MSCI Emerging Markets Index captures large-cap and mid-cap representation across 23 emerging markets countries. The index covers approximately 85% of the free float-adjusted market capitalization in each country. Emerging markets countries in the index include Brazil, Chile, China, Colombia, the Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Peru, the Philippines, Poland, Russia, Qatar, South Africa, Taiwan, Thailand, Turkey and the United Arab Emirates.
The Bloomberg Barclays U.S. Treasury Inflation-Linked Bond Index measures the performance of the U.S. Treasury inflation protected securities (TIPS) market.
22
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Consolidated Schedule of Investments
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – 12.4% | ||||||||
| Denmark – 0.2% | ||||||||
| 1,174 | Novo Nordisk A/S Class B (Pharmaceuticals) | $ | 41,824 | |||||
|
| |||||||
| France – 0.4% | ||||||||
| 1,270 | Safran SA (Aerospace & Defense) | 87,391 | ||||||
|
| |||||||
| Germany – 1.0% | ||||||||
| 1,112 | Bayer AG (Pharmaceuticals) | 110,410 | ||||||
| 1,290 | Beiersdorf AG (Personal Products) | 113,726 | ||||||
| 659 | GEA Group AG (Machinery) | 25,524 | ||||||
|
| |||||||
| 249,660 | ||||||||
|
| |||||||
| Japan – 1.7% | ||||||||
| 1,900 | Hoya Corp. (Health Care Equipment & Supplies) | 79,276 | ||||||
| 1,800 | Japan Tobacco, Inc. (Tobacco) | 68,436 | ||||||
| 8,000 | Mitsubishi Estate Co. Ltd. (Real Estate Management & Development) | 158,999 | ||||||
| 1,100 | Nidec Corp. (Electrical Equipment) | 106,436 | ||||||
|
| |||||||
| 413,147 | ||||||||
|
| |||||||
| Sweden – 0.4% | ||||||||
| 3,138 | Svenska Cellulosa AB SCA Class B (Household Products) | 88,877 | ||||||
|
| |||||||
| Switzerland – 0.8% | ||||||||
| 821 | Novartis AG (Pharmaceuticals) | 58,265 | ||||||
| 201 | Syngenta AG (Chemicals) | 80,433 | ||||||
| 4,584 | UBS Group AG (Capital Markets) | 64,807 | ||||||
|
| |||||||
| 203,505 | ||||||||
|
| |||||||
| United Kingdom – 0.9% | ||||||||
| 4,978 | Royal Dutch Shell PLC (Oil, Gas & Consumable Fuels) | 123,987 | ||||||
| 2,152 | Wolseley PLC (Trading Companies & Distributors) | 111,623 | ||||||
|
| |||||||
| 235,610 | ||||||||
|
| |||||||
| United States – 7.0% | ||||||||
| 2,956 | Abbott Laboratories (Health Care Equipment & Supplies) | 115,993 | ||||||
| 645 | Affiliated Managers Group, Inc.* (Capital Markets) | 85,566 | ||||||
| 177 | Alphabet, Inc. Class A* (Internet Software & Services) | 143,352 | ||||||
| 1,356 | American Tower Corp. (Equity Real Estate Investment Trusts (REITs)) | 158,910 | ||||||
| 110 | Biogen, Inc.* (Biotechnology) | 30,820 | ||||||
| 764 | Celgene Corp.* (Biotechnology) | 78,066 | ||||||
| 128 | Dell Technologies, Inc. – VMware, Inc. Class V* (Software) | 6,284 | ||||||
| 986 | Electronic Arts, Inc.* (Software) | 77,421 | ||||||
| 693 | Facebook, Inc. Class A* (Internet Software & Services) | 90,776 | ||||||
| 529 | FedEx Corp. (Air Freight & Logistics) | 92,215 | ||||||
| 976 | Honeywell International, Inc. (Industrial Conglomerates) | 107,048 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| United States – (continued) | ||||||||
| 527 | Intercontinental Exchange, Inc. (Capital Markets) | $ | 142,496 | |||||
| 806 | Intuit, Inc. (Software) | 87,644 | ||||||
| 1,859 | Newell Brands, Inc. (Household Durables) | 89,269 | ||||||
| 735 | NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 36,882 | ||||||
| 1,760 | Northern Trust Corp. (Capital Markets) | 127,459 | ||||||
| 736 | PVH Corp. (Textiles, Apparel & Luxury Goods) | 78,737 | ||||||
| 882 | QUALCOMM, Inc. (Semiconductors & Semiconductor Equipment) | 60,611 | ||||||
| 1,505 | Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | 129,851 | ||||||
|
| |||||||
| 1,739,400 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $3,052,316) | $ | 3,059,414 | ||||||
|
| |||||||
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
| U.S. Treasury Obligations(a)(b) – 5.0% | ||||||||||||||
| United States Treasury Bills |
| ||||||||||||
| $ | 1,025,000 | 0.000 | % | 02/23/17 | $ | 1,023,936 | ||||||||
| 200,000 | 0.000 | 02/23/17 | 199,792 | |||||||||||
|
| |||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||
| (Cost $1,223,228) | $ | 1,223,728 | ||||||||||||
|
| |||||||||||||
| Contracts | Exercise Price | Expiration Date | Value | |||||||||||
| Option Contracts Purchased – 1.4% | ||||||||||||||
| Options on Equities – 0.1% | ||||||||||||||
| UBS AG (London) Put – S&P 500 Index |
| ||||||||||||
| 6 | $ | 2,096.50 | 12/15/16 | $ | 21,799 | |||||||||
|
| |||||||||||||
| Options on Futures – 1.3% | ||||||||||||||
| Barclays Bank PLC Call – Eurodollar Futures |
| ||||||||||||
| 10 | 99.000 | 12/19/16 | 1,875 | |||||||||||
| Credit Suisse International (London) Call – Eurodollar Futures |
| ||||||||||||
| 80 | 99.375 | 12/19/16 | 500 | |||||||||||
| Credit Suisse International (London) Call – Eurodollar Futures |
| ||||||||||||
| 32 | 98.875 | 12/19/16 | 14,600 | |||||||||||
| Credit Suisse International (London) Call – Eurodollar Futures |
| ||||||||||||
| 4 | 98.750 | 12/19/16 | 3,050 | |||||||||||
| Credit Suisse International (London) Call – Eurodollar Futures |
| ||||||||||||
| 27 | 98.500 | 12/19/16 | 37,462 | |||||||||||
| Credit Suisse International (London) Call – Eurodollar Futures |
| ||||||||||||
| 412 | 99.375 | 03/13/17 | 5,150 | |||||||||||
| Credit Suisse International (London) Call – Eurodollar Futures |
| ||||||||||||
| 6 | 98.750 | 03/13/17 | 4,163 | |||||||||||
| Credit Suisse International (London) Call – Eurodollar Futures |
| ||||||||||||
| 3 | 98.625 | 03/13/17 | 2,981 | |||||||||||
| Credit Suisse International (London) Call – Eurodollar Futures |
| ||||||||||||
| 23 | 98.375 | 03/13/17 | 37,088 | |||||||||||
|
| |||||||||||||
| The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Consolidated Schedule of Investments (continued)
October 31, 2016
| Contracts | Exercise Price | Expiration Date | Value | |||||||||||
| Option Contracts Purchased – (continued) | ||||||||||||||
| Options on Futures – (continued) | ||||||||||||||
| Credit Suisse International (London) Call – Eurodollar Futures |
| ||||||||||||
| 10 | $ | 98.500 | 06/19/17 | $ | 11,625 | |||||||||
| Credit Suisse International (London) Call – Eurodollar Futures |
| ||||||||||||
| 14 | 98.375 | 03/19/18 | 17,938 | |||||||||||
| Credit Suisse International (London) Call – Eurodollar Futures |
| ||||||||||||
| 19 | 98.375 | 06/18/18 | 24,344 | |||||||||||
| Credit Suisse International (London) Call – Eurodollar Futures |
| ||||||||||||
| 21 | 98.250 | 09/17/18 | 31,500 | |||||||||||
| Credit Suisse International (London) Call – Eurodollar Futures |
| ||||||||||||
| 23 | 98.125 | 12/17/18 | 39,387 | |||||||||||
| Credit Suisse International (London) Call – Eurodollar Futures |
| ||||||||||||
| 27 | 98.000 | 03/18/19 | 52,481 | |||||||||||
| Credit Suisse International (London) Call – Eurodollar Futures |
| ||||||||||||
| 15 | 97.750 | 06/17/19 | 36,000 | |||||||||||
|
| |||||||||||||
| 320,144 | ||||||||||||||
|
| |||||||||||||
| TOTAL OPTION CONTRACTS PURCHASED | ||||||||||||||
| (Cost $432,690) | $ | 341,943 | ||||||||||||
|
| |||||||||||||
| Shares | Distribution Rate | Value | ||||||||
| Investment Companies(c) – 72.3% | ||||||||||
| United States – 72.3% | ||||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||||
| 9,105,585 | 0.300 | % | $ | 9,105,585 | ||||||
| Goldman Sachs Fixed Income Macro Strategies Fund – | | ||||||||
| 275,425 | N/A | 2,437,511 | ||||||||
| Goldman Sachs High Yield Fund – Institutional Shares(d) |
| ||||||||
| 178,509 | 4.880 | 1,153,166 | ||||||||
| Goldman Sachs Inflation Protected Securities Fund – Institutional | | ||||||||
| 137,992 | 0.550 | 1,475,133 | ||||||||
| Goldman Sachs International Real Estate Securities Fund – | | ||||||||
| 142,034 | 2.440 | 840,840 | ||||||||
| Goldman Sachs Long Short Credit Strategies Fund – Institutional | | ||||||||
| 51,062 | 3.490 | 491,222 | ||||||||
| Goldman Sachs Long Short Fund – Institutional Shares |
| ||||||||
| 145,106 | N/A | 1,252,270 | ||||||||
| Goldman Sachs Real Estate Securities Fund – Institutional | | ||||||||
| 56,119 | 2.440 | 1,122,376 | ||||||||
|
| |||||||||
| TOTAL INVESTMENT COMPANIES | ||||||||||
| (Cost $18,063,259) | $ | 17,878,103 | ||||||||
|
| |||||||||
| Shares | Description | Value | ||||||
| Exchange Traded Fund – 1.2% | ||||||||
| United States – 1.2% | ||||||||
| 2,666 | iShares JPMorgan USD Emerging Markets Bond ETF | $ | 305,763 | |||||
| (Cost $309,680) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS – 92.3% | ||||||||
| (Cost $23,081,173) | $ | 22,808,951 | ||||||
|
| |||||||
|
| OTHER ASSETS IN EXCESS OF LIABILITIES – 7.7% | 1,913,556 | ||||||
|
| |||||||
| NET ASSETS – 100.0% | $ | 24,722,507 | ||||||
|
| |||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | Security issued with a zero coupon. Income is recognized through the accretion of discount. | |
(b) | All or a portion of the security is segregated as collateral against open forward foreign currency exchange contracts. | |
(c) | Represents affiliated funds. | |
(d) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on October 31, 2016. | |
| ||
Currency Abbreviations: | ||
AUD | —Australian Dollar | |
BRL | —Brazilian Real | |
CAD | —Canadian Dollar | |
CHF | —Swiss Franc | |
CLP | —Chilean Peso | |
CNY | —Chinese Yuan Renminbi | |
CZK | —Czech Koruna | |
EUR | —Euro | |
GBP | —British Pound | |
HUF | —Hungarian Forint | |
IDR | —Indonesian Rupiah | |
ILS | —Israeli Shekel | |
INR | —Indian Rupee | |
JPY | —Japanese Yen | |
KRW | —South Korean Won | |
MXN | —Mexican Peso | |
MYR | �� | —Malaysian Ringgit |
NOK | —Norwegian Krone | |
NZD | —New Zealand Dollar | |
PHP | —Philippine Peso | |
PLN | —Polish Zloty | |
RUB | —Russian Ruble | |
SEK | —Swedish Krona | |
SGD | —Singapore Dollar | |
TRY | —Turkish Lira | |
TWD | —Taiwan Dollar | |
USD | —United States Dollar | |
ZAR | —South African Rand | |
Investment Abbreviations: | ||
ETF | —Exchange Traded Fund | |
LIBOR | —London Interbank Offered Rate | |
LLC | —Limited Liability Company | |
PLC | —Public Limited Company | |
| ||
| 24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At October 31, 2016, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| Counterparty | Currency Purchased | Currency Sold | Current Value | Settlement Date | Unrealized Gain | |||||||||||||||||||
Morgan Stanley & Co. International PLC | BRL | 1,400,000 | USD | 429,026 | $ | 438,173 | 11/03/16 | $ | 9,147 | |||||||||||||||
| IDR | 7,470,000,000 | USD | 564,022 | 568,748 | 12/21/16 | 4,726 | ||||||||||||||||||
| INR | 25,000,000 | USD | 370,222 | 372,090 | 12/21/16 | 1,868 | ||||||||||||||||||
| MYR | 780,000 | USD | 185,207 | 185,480 | 12/21/16 | 273 | ||||||||||||||||||
| NZD | 250,000 | USD | 176,997 | 178,427 | 12/21/16 | 1,430 | ||||||||||||||||||
| RUB | 16,000,000 | USD | 243,254 | 248,778 | 12/21/16 | 5,524 | ||||||||||||||||||
| USD | 440,543 | BRL | 1,380,000 | 431,913 | 11/03/16 | 8,629 | ||||||||||||||||||
| USD | 190,105 | CAD | 250,000 | 186,463 | 12/21/16 | 3,643 | ||||||||||||||||||
| USD | 248,755 | CHF | 240,000 | 243,282 | 12/21/16 | 5,473 | ||||||||||||||||||
| USD | 246,255 | CNY | 1,660,000 | 243,820 | 12/21/16 | 2,436 | ||||||||||||||||||
| USD | 440,651 | GBP | 330,000 | 404,439 | 12/21/16 | 36,213 | ||||||||||||||||||
| USD | 248,061 | HUF | 68,000,000 | 241,963 | 12/21/16 | 6,099 | ||||||||||||||||||
| USD | 187,378 | JPY | 19,000,000 | 181,579 | 12/21/16 | 5,799 | ||||||||||||||||||
| USD | 192,053 | KRW | 210,000,000 | 183,504 | 12/21/16 | 8,549 | ||||||||||||||||||
| USD | 191,380 | MYR | 780,000 | 185,480 | 12/21/16 | 5,901 | ||||||||||||||||||
| USD | 185,374 | NZD | 250,000 | 178,427 | 12/21/16 | 6,947 | ||||||||||||||||||
| USD | 184,799 | PLN | 720,000 | 183,339 | 12/21/16 | 1,460 | ||||||||||||||||||
| USD | 246,556 | �� | RUB | 15,750,000 | 244,891 | 12/21/16 | 1,666 | |||||||||||||||||
| USD | 251,629 | TWD | 7,800,000 | 247,267 | 12/21/16 | 4,363 | ||||||||||||||||||
UBS AG (London) | AUD | 50,000 | USD | 37,991 | 38,011 | 11/23/16 | 21 | |||||||||||||||||
| CHF | 10,000 | USD | 10,110 | 10,117 | 11/23/16 | 8 | ||||||||||||||||||
| CLP | 65,990,000 | USD | 98,719 | 100,831 | 11/25/16 | 2,112 | ||||||||||||||||||
| CZK | 200,000 | USD | 8,106 | 8,130 | 11/23/16 | 24 | ||||||||||||||||||
| IDR | 4,406,450,000 | USD | 336,014 | 336,907 | 11/25/16 | 893 | ||||||||||||||||||
| INR | 27,720,000 | USD | 412,653 | 414,119 | 11/25/16 | 1,466 | ||||||||||||||||||
| MYR | 30,000 | USD | 7,138 | 7,140 | 11/25/16 | 2 | ||||||||||||||||||
| NOK | 70,000 | USD | 8,470 | 8,472 | 11/23/16 | 3 | ||||||||||||||||||
| NZD | 30,000 | USD | 21,401 | 21,432 | 11/23/16 | 31 | ||||||||||||||||||
| SGD | 10,000 | USD | 7,175 | 7,189 | 11/23/16 | 14 | ||||||||||||||||||
| USD | 15,684 | BRL | 50,000 | 15,542 | 11/25/16 | 142 | ||||||||||||||||||
| USD | 224,806 | CAD | 300,000 | 223,697 | 11/23/16 | 1,109 | ||||||||||||||||||
| USD | 47,184 | CNY | 320,000 | 47,141 | 11/25/16 | 44 | ||||||||||||||||||
| USD | 136,022 | JPY | 14,090,000 | 134,466 | 11/25/16 | 1,556 | ||||||||||||||||||
| USD | 114,139 | KRW | 129,870,000 | 113,500 | 11/25/16 | 638 | ||||||||||||||||||
| USD | 124,230 | MYR | 520,000 | 123,758 | 11/25/16 | 471 | ||||||||||||||||||
| USD | 181,296 | PHP | 8,770,000 | 180,695 | 11/25/16 | 601 | ||||||||||||||||||
| USD | 23,142 | RUB | 1,470,000 | 23,039 | 11/25/16 | 103 | ||||||||||||||||||
| USD | 305,167 | SEK | 2,720,000 | 301,455 | 11/23/16 | 3,712 | ||||||||||||||||||
| USD | 7,197 | SGD | 10,000 | 7,189 | 11/23/16 | 8 | ||||||||||||||||||
| ZAR | 4,760,000 | USD | 336,835 | 351,412 | 11/23/16 | 14,578 | ||||||||||||||||||
| TOTAL | $ | 147,682 | ||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Consolidated Schedule of Investments (continued)
October 31, 2016
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| Counterparty | Currency Purchased | Currency Sold | Current Value | Settlement Date | Unrealized Loss | |||||||||||||||||||
Morgan Stanley & Co. International PLC | BRL | 1,380,000 | USD | 436,681 | $ | 428,042 | 12/02/16 | $ | (8,639 | ) | ||||||||||||||
| CHF | 240,000 | USD | 244,113 | 243,282 | 12/21/16 | (831 | ) | |||||||||||||||||
| GBP | 330,000 | USD | 429,553 | 404,439 | 12/21/16 | (25,114 | ) | |||||||||||||||||
| NOK | 1,500,000 | USD | 185,078 | 181,566 | 12/21/16 | (3,512 | ) | |||||||||||||||||
| PLN | 720,000 | USD | 186,823 | 183,339 | 12/21/16 | (3,484 | ) | |||||||||||||||||
| SEK | 1,650,000 | USD | 195,920 | 183,171 | 12/21/16 | (12,749 | ) | |||||||||||||||||
| USD | 6,250 | BRL | 20,000 | 6,260 | 11/03/16 | (10 | ) | |||||||||||||||||
| USD | 248,148 | CLP | 165,000,000 | 251,669 | 12/21/16 | (3,521 | ) | |||||||||||||||||
| USD | 197,498 | IDR | 2,610,000,000 | 198,719 | 12/21/16 | (1,222 | ) | |||||||||||||||||
| USD | 7,410 | INR | 500,000 | 7,442 | 12/21/16 | (31 | ) | |||||||||||||||||
| USD | 3,824 | RUB | 250,000 | 3,887 | 12/21/16 | (63 | ) | |||||||||||||||||
UBS AG (London) | AUD | 10,000 | USD | 7,625 | 7,602 | 11/23/16 | (22 | ) | ||||||||||||||||
| BRL | 1,500,000 | USD | 470,407 | 466,266 | 11/25/16 | (4,141 | ) | |||||||||||||||||
| CLP | 19,590,000 | USD | 30,012 | 29,933 | 11/25/16 | (79 | ) | |||||||||||||||||
| MXN | 3,190,000 | USD | 170,547 | 168,313 | 11/23/16 | (2,234 | ) | |||||||||||||||||
| USD | 43,010 | SGD | 60,000 | 43,134 | 11/23/16 | (125 | ) | |||||||||||||||||
| PHP | 550,000 | USD | 11,340 | 11,332 | 11/25/16 | (8 | ) | |||||||||||||||||
| RUB | 29,900,000 | USD | 474,911 | 468,619 | 11/25/16 | (6,292 | ) | |||||||||||||||||
| SEK | 110,000 | USD | 12,197 | 12,191 | 11/23/16 | (6 | ) | |||||||||||||||||
| TRY | 890,000 | USD | 286,777 | 286,231 | 11/23/16 | (547 | ) | |||||||||||||||||
| USD | 7,600 | AUD | 10,000 | 7,602 | 11/23/16 | (2 | ) | |||||||||||||||||
| USD | 462,947 | CHF | 460,000 | 465,395 | 11/23/16 | (2,448 | ) | |||||||||||||||||
| USD | 20,597 | CNY | 140,000 | 20,624 | 11/25/16 | (27 | ) | |||||||||||||||||
| USD | 290,971 | CZK | 7,220,000 | 293,509 | 11/23/16 | (2,538 | ) | |||||||||||||||||
| USD | 402,861 | EUR | 370,000 | 406,543 | 11/23/16 | (3,680 | ) | |||||||||||||||||
| USD | 219,404 | GBP | 180,000 | 220,418 | 11/23/16 | (1,013 | ) | |||||||||||||||||
| USD | 140,164 | HUF | 39,760,000 | 141,371 | 11/23/16 | (1,208 | ) | |||||||||||||||||
| USD | 11,326 | IDR | 148,430,000 | 11,349 | 11/25/16 | (22 | ) | |||||||||||||||||
| USD | 217,775 | ILS | 840,000 | 219,074 | 11/23/16 | (1,300 | ) | |||||||||||||||||
| USD | 20,311 | INR | 1,360,000 | 20,318 | 11/25/16 | (6 | ) | |||||||||||||||||
| USD | 6,769 | JPY | 710,000 | 6,776 | 11/25/16 | (7 | ) | |||||||||||||||||
| USD | 9,950 | KRW | 11,420,000 | 9,981 | 11/25/16 | (30 | ) | |||||||||||||||||
| USD | 14,521 | NOK | 120,000 | 14,524 | 11/23/16 | (3 | ) | |||||||||||||||||
| USD | 7,119 | NZD | 10,000 | 7,144 | 11/23/16 | (25 | ) | |||||||||||||||||
| USD | 112,985 | PLN | 450,000 | 114,634 | 11/23/16 | (1,650 | ) | |||||||||||||||||
| USD | 257,995 | SGD | 360,000 | 258,806 | 11/23/16 | (811 | ) | |||||||||||||||||
| USD | 19,261 | TRY | 60,000 | 19,296 | 11/23/16 | (36 | ) | |||||||||||||||||
| USD | 90,640 | TWD | 2,880,000 | 91,278 | 11/25/16 | (639 | ) | |||||||||||||||||
| USD | 11,060 | ZAR | 150,000 | 11,074 | 11/23/16 | (14 | ) | |||||||||||||||||
| TOTAL | $ | (88,089 | ) | |||||||||||||||||||||
| 26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS — At October 31, 2016, the Fund had the following futures contracts:
| Type | Number of Contracts Long (Short) | Expiration Date | Current Value | Unrealized Gain (Loss) | ||||||||||
10 Year U.S. Treasury Notes | 7 | December 2016 | $ | 907,375 | $ | (669 | ) | |||||||
10 Year U.S. Treasury Notes | (8 | ) | December 2016 | (1,037,000 | ) | 13,044 | ||||||||
2 Year German Euro-Schatz | 1 | December 2016 | 122,926 | (7 | ) | |||||||||
2 Year U.S. Treasury Notes | 14 | December 2016 | 3,053,969 | 1,042 | ||||||||||
20 Year U.S. Treasury Bonds | (3 | ) | December 2016 | (488,156 | ) | 1,869 | ||||||||
3 Month Euroswiss | (1 | ) | March 2017 | (254,585 | ) | 176 | ||||||||
3 Month Euroswiss | (1 | ) | September 2017 | (254,585 | ) | (1 | ) | |||||||
5 Year German Euro-Bobl | 2 | December 2016 | 287,852 | 12 | ||||||||||
5 Year U.S. Treasury Notes | (10 | ) | December 2016 | (1,207,969 | ) | 188 | ||||||||
Australia 10 Year Treasury Bond | 1 | September 2017 | 757,469 | 46 | ||||||||||
Brent Crude | (1 | ) | November 2016 | (48,610 | ) | 3,918 | ||||||||
CAC40 Index | 1 | November 2016 | 49,470 | (507 | ) | |||||||||
Canada 10 Year Government Bonds | 1 | December 2016 | 107,821 | 162 | ||||||||||
Cattle Feeder | (2 | ) | January 2017 | (116,000 | ) | 2,544 | ||||||||
Cocoa | (2 | ) | December 2016 | (54,700 | ) | 2,634 | ||||||||
Coffee | 1 | December 2016 | 61,556 | 2,360 | ||||||||||
Copper | (2 | ) | December 2016 | (110,250 | ) | (4,043 | ) | |||||||
Corn | (6 | ) | December 2016 | (106,425 | ) | (8,506 | ) | |||||||
Cotton No.2 | 3 | December 2016 | 103,290 | (3,379 | ) | |||||||||
Crude Oil | (1 | ) | November 2016 | (46,860 | ) | 3,517 | ||||||||
E-mini S&P 500 Futures | (1 | ) | June 2017 | (254,585 | ) | (1 | ) | |||||||
Euro Buxl 30 Year Bonds | (5 | ) | December 2016 | (987,317 | ) | 49,392 | ||||||||
Euro Stoxx 50 Index | 2 | December 2016 | 67,029 | 238 | ||||||||||
Euro Stoxx 50 Index | (9 | ) | December 2016 | (301,629 | ) | (5,942 | ) | |||||||
Eurodollars | 28 | December 2016 | 6,933,850 | (18,727 | ) | |||||||||
Eurodollars | (3 | ) | March 2017 | (742,650 | ) | (157 | ) | |||||||
Eurodollars | (2 | ) | June 2017 | (494,800 | ) | (117 | ) | |||||||
Eurodollars | (1 | ) | September 2017 | (247,288 | ) | (65 | ) | |||||||
Eurodollars | (28 | ) | March 2018 | (6,917,750 | ) | 21,473 | ||||||||
Eurodollars | 1 | June 2018 | 246,950 | (40 | ) | |||||||||
Eurodollars | 1 | September 2018 | 246,838 | (115 | ) | |||||||||
Eurodollars | 1 | December 2018 | 246,700 | 35 | ||||||||||
FTSE 100 Index | 7 | December 2016 | 593,677 | 19,664 | ||||||||||
FTSE 250 Index | (12 | ) | December 2016 | (513,170 | ) | 8,744 | ||||||||
FTSE China A50 Index | (30 | ) | November 2016 | (296,100 | ) | 4,110 | ||||||||
FTSE KLCI Index | (24 | ) | November 2016 | (477,569 | ) | 552 | ||||||||
Gasoline RBOB | 1 | November 2016 | 59,619 | (2,153 | ) | |||||||||
Gold 100 Oz | 1 | December 2016 | 127,310 | (7,363 | ) | |||||||||
H-Shares Index | 6 | November 2016 | 370,380 | (9,144 | ) | |||||||||
Hard Red Winter Wheat | (10 | ) | December 2016 | (207,375 | ) | 4,618 | ||||||||
IBEX 35 Index | 4 | November 2016 | 400,762 | 21,072 | ||||||||||
iShares MSCI Taiwan ETF | 11 | November 2016 | 384,560 | (1,880 | ) | |||||||||
Kospi 200 Index | 1 | �� | December 2016 | 112,082 | (2,138 | ) | ||||||||
Lead | 5 | November 2016 | 256,875 | 15,825 | ||||||||||
Lead | (5 | ) | November 2016 | (256,875 | ) | 1,033 | ||||||||
Lead | 4 | December 2016 | 205,900 | (1,554 | ) | |||||||||
Lean Hogs | (5 | ) | December 2016 | (95,900 | ) | (1,325 | ) | |||||||
Live Cattle | (3 | ) | December 2016 | (123,990 | ) | (3,042 | ) | |||||||
Low Sulphur Gas Oil | 1 | December 2016 | 44,125 | (2,102 | ) | |||||||||
Mini MSCI Emerging Market | (14 | ) | December 2016 | (1,165,990 | ) | 34,902 | ||||||||
MSCI Singapore Index | 19 | November 2016 | 420,902 | (6,587 | ) | |||||||||
| The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Consolidated Schedule of Investments (continued)
October 31, 2016
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
| Type | Number of Contracts Long (Short) | Expiration Date | Current Value | Unrealized Gain (Loss) | ||||||||||
NASDAQ 100 E-Mini Index | 1 | December 2016 | $ | 95,935 | $ | 661 | ||||||||
Natural Gas | (3 | ) | November 2016 | (90,780 | ) | 4,162 | ||||||||
Nickel | 3 | November 2016 | 187,884 | 3,875 | ||||||||||
Nickel | (3 | ) | November 2016 | (187,884 | ) | (5,077 | ) | |||||||
Nickel | 3 | December 2016 | 188,199 | 4,145 | ||||||||||
Nickel | (2 | ) | December 2016 | (125,466 | ) | (1,799 | ) | |||||||
OMXS 30 Index | 2 | November 2016 | 31,991 | (364 | ) | |||||||||
Primary Aluminum | 4 | November 2016 | 173,400 | 7,386 | ||||||||||
Primary Aluminum | (4 | ) | November 2016 | (173,400 | ) | (16,255 | ) | |||||||
Primary Aluminum | 2 | December 2016 | 86,675 | 2,610 | ||||||||||
Primary Aluminum | (1 | ) | December 2016 | (43,338 | ) | (1,652 | ) | |||||||
Russell 2000 Mini Index | 2 | December 2016 | 237,860 | (12,424 | ) | |||||||||
S&P 500 E-Mini Index | 3 | December 2016 | 318,015 | (3,760 | ) | |||||||||
S&P 500 E-Mini Index | (20 | ) | December 2016 | (2,120,100 | ) | 33,984 | ||||||||
S&P Toronto Stock Exchange 60 Index | 1 | December 2016 | 129,203 | 102 | ||||||||||
SAFEX FTSE/JSE Top 40 Index | (1 | ) | December 2016 | (32,848 | ) | 718 | ||||||||
SGX Nifty 50 Index | 27 | November 2016 | 464,616 | (8,213 | ) | |||||||||
Silver | 1 | December 2016 | 88,980 | (9,003 | ) | |||||||||
Soybean | 2 | January 2017 | 101,175 | 881 | ||||||||||
Sugar No. 11 | 9 | February 2017 | 217,426 | (7,240 | ) | |||||||||
TFEX SET50 Index | 2 | December 2016 | 10,688 | (123 | ) | |||||||||
Wheat | (10 | ) | December 2016 | (208,125 | ) | (843 | ) | |||||||
Zinc | 6 | November 2016 | 367,950 | 21,536 | ||||||||||
Zinc | (6 | ) | November 2016 | (367,950 | ) | (20,825 | ) | |||||||
Zinc | 5 | December 2016 | 307,250 | 17,268 | ||||||||||
Zinc | (2 | ) | December 2016 | (122,900 | ) | (8,126 | ) | |||||||
| TOTAL | $ | 135,230 | ||||||||||||
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
| Market Value | ||||||||||||||||||||||
| Referenced Obligation | Notional Amount (000s) | Rates Received (Paid) | Termination Date | Credit Spread at October 31, | Upfront Payments Made (Received) | Unrealized Gain (Loss) | ||||||||||||||||
Protection Purchased: | ||||||||||||||||||||||
iTraxx Europe Series 26 | 4,360 | (1.000 | )% | 12/20/21 | 0.730 | % | $ | (75,708 | ) | $ | 4,740 | |||||||||||
CDX North American Investment Grade Index 27 | 910 | (1.000 | ) | 12/20/21 | 0.786 | (8,525 | ) | (2,037 | ) | |||||||||||||
Protection Sold: | ||||||||||||||||||||||
iTraxx Europe Series 26 | 250 | 1.000 | 12/20/21 | 0.730 | 4,025 | 37 | ||||||||||||||||
iTraxx Europe Series 26 | 1,750 | 5.000 | 12/20/21 | 3.295 | 159,923 | (74 | ) | |||||||||||||||
CDX North American Investment Grade Index 27 | 300 | 1.000 | 12/20/21 | 0.786 | 3,830 | (356 | ) | |||||||||||||||
CDX North America High Yield Index 27 | 950 | 5.000 | 12/20/21 | 4.217 | 36,608 | 1,188 | ||||||||||||||||
| TOTAL | $ | 120,153 | $ | 3,498 | ||||||||||||||||||
| (a) | Credit spread on the Referenced Obligation, together with the term of the swap contract, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund or its counterparty to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and the term of the swap contract increase. |
| 28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS ON COMMODITY INDICES
| Counterparty | Referenced Obligation(a) | Notional Amount (000s) | Termination Date | Unrealized Gain (Loss)* | ||||||||||
Morgan Stanley & Co. International PLC | S&P GSCI Silver Official Close Index | $ | 160 | 11/30/16 | $ | 9,604 | ||||||||
| S&P GSCI Gold Official Close Index | 210 | 11/30/16 | (6,904 | ) | ||||||||||
| S&P GSCI Zinc Official Close Index | 258 | 11/30/16 | — | |||||||||||
| Bloomberg WTI Crude Oil Index | 160 | 11/30/16 | 9,154 | |||||||||||
| TOTAL | $ | 11,854 | ||||||||||||
| (a) | The Fund receives quarterly payments based on any positive monthly return of the Referenced Obligation. The Fund makes payments on any negative monthly return of such referenced obligation. |
| * | There are no upfront payments on the swap contracts, therefore the unrealized gain/loss of the swap contracts is equal to their market value. |
WRITTEN OPTIONS CONTRACTS — For the fiscal year ended October 31, 2016 the Fund had following written options:
OPTIONS ON EQUITIES CONTRACTS
| Counterparty | Description | Contracts | Expiration Date | Strike Price | Value | |||||||||||||
Bank of America Securities LLC | Put - S&P 500 Index | 14 | 11/30/16 | $ | 2,070.87 | $ | (29,400 | ) | ||||||||||
| Call - S&P 500 Index | 14 | 11/30/16 | 2,161.87 | (20,468 | ) | |||||||||||||
UBS AG (London) | Put - S&P 500 Index | 6 | 03/15/17 | 1,954.86 | (22,279 | ) | ||||||||||||
| TOTAL (Premium Received $79,868) | 34 | $ | (72,147 | ) | ||||||||||||||
OPTIONS ON EQUITIES CONTRACTS — During the fiscal year ended October 31, 2016, the Fund had the following written equity options activities:
| Contracts | Premiums Received | |||||||
Contracts Outstanding October 31, 2015 | 148 | $ | 70,913 | |||||
Contracts Written | 92,252 | 591,338 | ||||||
Contracts Bought to Close | (16,090 | ) | (83,796 | ) | ||||
Contracts Expired | (76,276 | ) | (498,587 | ) | ||||
Contracts Outstanding October 31, 2016 | 34 | $ | 79,868 | |||||
| The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
Schedule of Investments
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – 36.9% | ||||||||
| Beverages – 0.9% | ||||||||
| 44 | Brown-Forman Corp. Class B | $ | 2,031 | |||||
| 39 | Constellation Brands, Inc. Class A | 6,518 | ||||||
| 44 | Dr. Pepper Snapple Group, Inc. | 3,863 | ||||||
| 40 | Molson Coors Brewing Co. Class B | 4,152 | ||||||
| 34 | Monster Beverage Corp.* | 4,908 | ||||||
| 342 | PepsiCo., Inc. | 36,662 | ||||||
| 3 | The Boston Beer Co., Inc. Class A* | 466 | ||||||
| 938 | The Coca-Cola Co. | 39,771 | ||||||
|
| |||||||
| 98,371 | ||||||||
|
| |||||||
| Biotechnology – 0.8% | ||||||||
| 46 | Alexion Pharmaceuticals, Inc.* | 6,003 | ||||||
| 144 | Amgen, Inc. | 20,327 | ||||||
| 41 | Biogen, Inc.* | 11,487 | ||||||
| 148 | Celgene Corp.* | 15,123 | ||||||
| 256 | Gilead Sciences, Inc. | 18,849 | ||||||
| 5 | Ligand Pharmaceuticals, Inc.* | 479 | ||||||
| 15 | Regeneron Pharmaceuticals, Inc.* | 5,175 | ||||||
| 9 | United Therapeutics Corp.* | 1,081 | ||||||
| 51 | Vertex Pharmaceuticals, Inc.* | 3,869 | ||||||
|
| |||||||
| 82,393 | ||||||||
|
| |||||||
| Chemicals – 2.8% | ||||||||
| 23 | A. Schulman, Inc. | 661 | ||||||
| 134 | Air Products & Chemicals, Inc. | 17,878 | ||||||
| 79 | Albemarle Corp. | 6,600 | ||||||
| 20 | American Vanguard Corp. | 304 | ||||||
| 41 | Ashland Global Holdings, Inc. | 4,581 | ||||||
| 26 | Balchem Corp. | 1,973 | ||||||
| 41 | Cabot Corp. | 2,138 | ||||||
| 56 | Calgon Carbon Corp. | 885 | ||||||
| 165 | CF Industries Holdings, Inc. | 3,962 | ||||||
| 581 | E.I. du Pont de Nemours & Co. | 39,967 | ||||||
| 102 | Eastman Chemical Co. | 7,335 | ||||||
| 170 | Ecolab, Inc. | 19,409 | ||||||
| 39 | Flotek Industries, Inc.* | 459 | ||||||
| 95 | FMC Corp. | 4,455 | ||||||
| 42 | H.B. Fuller Co. | 1,767 | ||||||
| 28 | Ingevity Corp.* | 1,159 | ||||||
| 22 | Innophos Holdings, Inc. | 1,008 | ||||||
| 20 | Innospec, Inc. | 1,205 | ||||||
| 54 | International Flavors & Fragrances, Inc. | 7,062 | ||||||
| 18 | Koppers Holdings, Inc.* | 590 | ||||||
| 24 | Kraton Corp.* | 615 | ||||||
| 227 | LyondellBasell Industries NV Class A | 18,058 | ||||||
| 29 | Minerals Technologies, Inc. | 1,949 | ||||||
| 290 | Monsanto Co. | 29,223 | ||||||
| 7 | NewMarket Corp. | 2,806 | ||||||
| 109 | Olin Corp. | 2,390 | ||||||
| 58 | PolyOne Corp. | 1,695 | ||||||
| 174 | PPG Industries, Inc. | 16,205 | ||||||
| 193 | Praxair, Inc. | 22,593 | ||||||
| 12 | Quaker Chemical Corp. | 1,290 | ||||||
| 32 | Rayonier Advanced Materials, Inc. | 414 | ||||||
| 86 | RPM International, Inc. | 4,088 | ||||||
| 31 | Sensient Technologies Corp. | 2,310 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Chemicals – (continued) | ||||||||
| 18 | Stepan Co. | $ | 1,279 | |||||
| 116 | The Chemours Co. | 1,906 | ||||||
| 751 | The Dow Chemical Co. | 40,411 | ||||||
| 241 | The Mosaic Co. | 5,671 | ||||||
| 31 | The Scotts Miracle-Gro Co. Class A | 2,731 | ||||||
| 54 | The Sherwin-Williams Co. | 13,222 | ||||||
| 50 | The Valspar Corp. | 4,980 | ||||||
|
| |||||||
| 297,234 | ||||||||
|
| |||||||
| Construction Materials – 0.2% | ||||||||
| 32 | Eagle Materials, Inc. | 2,591 | ||||||
| 62 | Headwaters, Inc.* | 1,017 | ||||||
| 45 | Martin Marietta Materials, Inc. | 8,342 | ||||||
| 10 | US Concrete, Inc.* | 499 | ||||||
| 93 | Vulcan Materials Co. | 10,528 | ||||||
|
| |||||||
| 22,977 | ||||||||
|
| |||||||
| Containers & Packaging – 0.4% | ||||||||
| 42 | AptarGroup, Inc. | 3,000 | ||||||
| 62 | Avery Dennison Corp. | 4,327 | ||||||
| 104 | Ball Corp. | 8,015 | ||||||
| 66 | Bemis Co., Inc. | 3,216 | ||||||
| 21 | Greif, Inc. Class A | 984 | ||||||
| 111 | Owens-Illinois, Inc.* | 2,142 | ||||||
| 67 | Packaging Corp. of America | 5,527 | ||||||
| 135 | Sealed Air Corp. | 6,160 | ||||||
| 27 | Silgan Holdings, Inc. | 1,376 | ||||||
| 68 | Sonoco Products Co. | 3,420 | ||||||
| 177 | WestRock Co. | 8,176 | ||||||
|
| |||||||
| 46,343 | ||||||||
|
| |||||||
| Energy Equipment & Services – 0.6% | ||||||||
| 117 | Baker Hughes, Inc. | 6,482 | ||||||
| 30 | Diamond Offshore Drilling, Inc. | 495 | ||||||
| 14 | Dril-Quip, Inc.* | 665 | ||||||
| 53 | Ensco PLC Class A | 414 | ||||||
| 62 | FMC Technologies, Inc.* | 2,001 | ||||||
| 226 | Halliburton Co. | 10,396 | ||||||
| 36 | Helmerich & Payne, Inc. | 2,272 | ||||||
| 98 | Nabors Industries Ltd. | 1,166 | ||||||
| 97 | National Oilwell Varco, Inc. | 3,114 | ||||||
| 64 | Noble Corp. PLC | 316 | ||||||
| 30 | Oceaneering International, Inc. | 714 | ||||||
| 16 | Oil States International, Inc.* | 468 | ||||||
| 36 | Patterson-UTI Energy, Inc. | 809 | ||||||
| 49 | Rowan Cos. PLC Class A | 650 | ||||||
| 357 | Schlumberger Ltd. | 27,928 | ||||||
| 43 | Superior Energy Services, Inc. | 609 | ||||||
| 63 | Tidewater, Inc. | 109 | ||||||
| 92 | Transocean Ltd.* | 884 | ||||||
|
| |||||||
| 59,492 | ||||||||
|
| |||||||
| Equity Real Estate Investment Trusts (REITs) – 7.6% | ||||||||
| 526 | Acadia Realty Trust | 17,721 | ||||||
| 171 | Alexandria Real Estate Equities, Inc. | 18,435 | ||||||
| 316 | AvalonBay Communities, Inc. | 54,093 | ||||||
|
| |||||||
| 30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Equity Real Estate Investment Trusts (REITs) – (continued) | ||||||||
| 365 | Boston Properties, Inc. | $ | 43,975 | |||||
| 1,317 | Brixmor Property Group, Inc. | 33,478 | ||||||
| 396 | Care Capital Properties, Inc. | 10,522 | ||||||
| 1,038 | Chesapeake Lodging Trust | 22,535 | ||||||
| 782 | Columbia Property Trust, Inc. | 16,484 | ||||||
| 446 | CyrusOne, Inc. | 19,896 | ||||||
| 1,682 | DDR Corp. | 25,718 | ||||||
| 182 | EastGroup Properties, Inc. | 12,360 | ||||||
| 97 | Equinix, Inc. | 34,656 | ||||||
| 665 | Equity Residential | 41,064 | ||||||
| 211 | Federal Realty Investment Trust | 30,643 | ||||||
| 248 | General Growth Properties, Inc. | 6,188 | ||||||
| 879 | HCP, Inc. | 30,106 | ||||||
| 239 | LaSalle Hotel Properties | 5,676 | ||||||
| 351 | Liberty Property Trust | 14,191 | ||||||
| 128 | Life Storage, Inc. | 10,323 | ||||||
| 269 | Mid-America Apartment Communities, Inc. | 24,950 | ||||||
| 603 | Pebblebrook Hotel Trust | 14,641 | ||||||
| 309 | Post Properties, Inc. | 20,329 | ||||||
| 443 | ProLogis, Inc. | 23,107 | ||||||
| 246 | Public Storage | 52,575 | ||||||
| 1,046 | RLJ Lodging Trust | 20,627 | ||||||
| 461 | Simon Property Group, Inc. | 85,727 | ||||||
| 271 | Taubman Centers, Inc. | 19,637 | ||||||
| 339 | Ventas, Inc. | 22,967 | ||||||
| 497 | Vornado Realty Trust | 46,112 | ||||||
| 381 | Welltower, Inc. | 26,110 | ||||||
|
| |||||||
| 804,846 | ||||||||
|
| |||||||
| Food & Staples Retailing – 0.9% | ||||||||
| 11 | Casey’s General Stores, Inc. | 1,243 | ||||||
| 104 | Costco Wholesale Corp. | 15,378 | ||||||
| 250 | CVS Health Corp. | 21,025 | ||||||
| 73 | Safeway Casa Ley | 74 | ||||||
| 73 | Safeway PDC, LLC | 4 | ||||||
| 10 | SpartanNash Co. | 280 | ||||||
| 32 | Sprouts Farmers Market, Inc.* | 709 | ||||||
| 57 | SUPERVALU, Inc.* | 245 | ||||||
| 111 | Sysco Corp. | 5,341 | ||||||
| 220 | The Kroger Co. | 6,816 | ||||||
| 15 | United Natural Foods, Inc.* | 626 | ||||||
| 360 | Wal-Mart Stores, Inc. | 25,207 | ||||||
| 204 | Walgreens Boots Alliance, Inc. | 16,877 | ||||||
| 70 | Whole Foods Market, Inc. | 1,980 | ||||||
|
| |||||||
| 95,805 | ||||||||
|
| |||||||
| Food Products – 0.9% | ||||||||
| 132 | Archer-Daniels-Midland Co. | 5,751 | ||||||
| 14 | B&G Foods, Inc. | 594 | ||||||
| 7 | Cal-Maine Foods, Inc. | 270 | ||||||
| 40 | Campbell Soup Co. | 2,174 | ||||||
| 95 | ConAgra Foods, Inc. | 4,577 | ||||||
| 35 | Darling Ingredients, Inc.* | 476 | ||||||
| 45 | Flowers Foods, Inc. | 698 | ||||||
| 151 | General Mills, Inc. | 9,359 | ||||||
| 68 | Hormel Foods Corp. | 2,618 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Food Products – (continued) | ||||||||
| 18 | Ingredion, Inc. | $ | 2,361 | |||||
| 56 | Kellogg Co. | 4,207 | ||||||
| 6 | Lancaster Colony Corp. | 784 | ||||||
| 31 | McCormick & Co., Inc. | 2,972 | ||||||
| 44 | Mead Johnson Nutrition Co. | 3,290 | ||||||
| 380 | Mondelez International, Inc. Class A | 17,077 | ||||||
| 14 | Post Holdings, Inc.* | 1,067 | ||||||
| 8 | Sanderson Farms, Inc. | 720 | ||||||
| 13 | Snyder’s-Lance, Inc. | 462 | ||||||
| 26 | The Hain Celestial Group, Inc.* | 946 | ||||||
| 34 | The Hershey Co. | 3,484 | ||||||
| 27 | The J.M. Smucker Co. | 3,545 | ||||||
| 146 | The Kraft Heinz Co. | 12,987 | ||||||
| 15 | TreeHouse Foods, Inc.* | 1,312 | ||||||
| 68 | Tyson Foods, Inc. Class A | 4,818 | ||||||
| 42 | WhiteWave Foods Co. Class A* | 2,289 | ||||||
|
| |||||||
| 88,838 | ||||||||
|
| |||||||
| Gas Utilities – 0.1% | ||||||||
| 289 | AmeriGas Partners LP | 13,800 | ||||||
|
| |||||||
| Health Care Equipment & Supplies – 1.0% | ||||||||
| 274 | Abbott Laboratories | 10,752 | ||||||
| 8 | ABIOMED, Inc.* | 840 | ||||||
| 16 | Align Technology, Inc.* | 1,375 | ||||||
| 98 | Baxter International, Inc. | 4,664 | ||||||
| 42 | Becton Dickinson & Co. | 7,052 | ||||||
| 253 | Boston Scientific Corp.* | 5,566 | ||||||
| 15 | C.R. Bard, Inc. | 3,250 | ||||||
| 6 | Cantel Medical Corp. | 427 | ||||||
| 7 | Cynosure, Inc. Class A* | 299 | ||||||
| 95 | Danaher Corp. | 7,462 | ||||||
| 46 | DENTSPLY SIRONA, Inc. | 2,648 | ||||||
| 40 | Edwards Lifesciences Corp.* | 3,809 | ||||||
| 11 | Haemonetics Corp.* | 368 | ||||||
| 12 | Halyard Health, Inc.* | 388 | ||||||
| 13 | Hill-Rom Holdings, Inc. | 720 | ||||||
| 53 | Hologic, Inc.* | 1,909 | ||||||
| 4 | ICU Medical, Inc.* | 557 | ||||||
| 20 | IDEXX Laboratories, Inc.* | 2,143 | ||||||
| 13 | Integer Holdings Corp.* | 287 | ||||||
| 7 | Integra LifeSciences Holdings Corp.* | 557 | ||||||
| 7 | Intuitive Surgical, Inc.* | 4,705 | ||||||
| 10 | LivaNova PLC* | 567 | ||||||
| 13 | Masimo Corp.* | 715 | ||||||
| 266 | Medtronic PLC | 21,817 | ||||||
| 10 | Natus Medical, Inc.* | 393 | ||||||
| 10 | Neogen Corp.* | 527 | ||||||
| 12 | NuVasive, Inc.* | 717 | ||||||
| 23 | ResMed, Inc. | 1,375 | ||||||
| 53 | St. Jude Medical, Inc. | 4,126 | ||||||
| 16 | STERIS PLC | 1,069 | ||||||
| 58 | Stryker Corp. | 6,690 | ||||||
| 8 | Teleflex, Inc. | 1,145 | ||||||
| 11 | The Cooper Cos., Inc. | 1,936 | ||||||
| 17 | Varian Medical Systems, Inc.* | 1,542 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
Schedule of Investments (continued)
October 31, 2016
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Health Care Equipment & Supplies – (continued) | ||||||||
| 15 | West Pharmaceutical Services, Inc. | $ | 1,140 | |||||
| 38 | Zimmer Biomet Holdings, Inc. | 4,005 | ||||||
|
| |||||||
| 107,542 | ||||||||
|
| |||||||
| Health Care Providers & Services – 0.9% | ||||||||
| 64 | Aetna, Inc. | 6,870 | ||||||
| 11 | Air Methods Corp.* | 291 | ||||||
| 6 | Amedisys, Inc.* | 260 | ||||||
| 32 | AmerisourceBergen Corp. | 2,250 | ||||||
| 14 | AMN Healthcare Services, Inc.* | 459 | ||||||
| 13 | Amsurg Corp.* | 777 | ||||||
| 50 | Anthem, Inc. | 6,093 | ||||||
| 58 | Cardinal Health, Inc. | 3,984 | ||||||
| 37 | Centene Corp.* | 2,312 | ||||||
| 4 | Chemed Corp. | 566 | ||||||
| 47 | CIGNA Corp. | 5,585 | ||||||
| 28 | Community Health Systems, Inc.* | 148 | ||||||
| 32 | DaVita, Inc.* | 1,876 | ||||||
| 8 | Diplomat Pharmacy, Inc.* | 185 | ||||||
| 116 | Express Scripts Holding Co.* | 7,818 | ||||||
| 58 | HCA Holdings, Inc.* | 4,439 | ||||||
| 17 | Henry Schein, Inc.* | 2,536 | ||||||
| 30 | Humana, Inc. | 5,146 | ||||||
| 19 | Laboratory Corp. of America Holdings* | 2,381 | ||||||
| 10 | LifePoint Health, Inc.* | 599 | ||||||
| 8 | Magellan Health, Inc.* | 412 | ||||||
| 44 | McKesson Corp. | 5,595 | ||||||
| 22 | MEDNAX, Inc.* | 1,347 | ||||||
| 9 | Molina Healthcare, Inc.* | 490 | ||||||
| 20 | Owens & Minor, Inc. | 649 | ||||||
| 18 | Patterson Cos., Inc. | 769 | ||||||
| 24 | Quest Diagnostics, Inc. | 1,955 | ||||||
| 7 | Quorum Health Corp.* | 28 | ||||||
| 34 | Select Medical Holdings Corp.* | 442 | ||||||
| 24 | Tenet Healthcare Corp.* | 473 | ||||||
| 180 | UnitedHealth Group, Inc. | 25,439 | ||||||
| 18 | Universal Health Services, Inc. Class B | 2,173 | ||||||
| 20 | VCA, Inc.* | 1,229 | ||||||
| 11 | WellCare Health Plans, Inc.* | 1,249 | ||||||
|
| |||||||
| 96,825 | ||||||||
|
| |||||||
| Health Care Technology* – 0.1% | ||||||||
| 49 | Allscripts Healthcare Solutions, Inc. | 589 | ||||||
| 59 | Cerner Corp. | 3,456 | ||||||
| 14 | Medidata Solutions, Inc. | 672 | ||||||
|
| |||||||
| 4,717 | ||||||||
|
| |||||||
| Household Durables* – 0.0% | ||||||||
| 131 | Toll Brothers, Inc. | 3,595 | ||||||
|
| |||||||
| Household Products – 0.8% | ||||||||
| 56 | Church & Dwight Co., Inc. | 2,703 | ||||||
| 215 | Colgate-Palmolive Co. | 15,342 | ||||||
| 19 | Energizer Holdings, Inc. | 884 | ||||||
| 80 | Kimberly-Clark Corp. | 9,153 | ||||||
| 27 | The Clorox Co. | 3,240 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Household Products – (continued) | ||||||||
| 641 | The Procter & Gamble Co. | $ | 55,639 | |||||
|
| |||||||
| 86,961 | ||||||||
|
| |||||||
| Life Sciences Tools & Services – 0.3% | ||||||||
| 54 | Agilent Technologies, Inc. | 2,353 | ||||||
| 7 | Bio-Techne Corp. | 728 | ||||||
| 6 | Cambrex Corp.* | 242 | ||||||
| 11 | Charles River Laboratories International, Inc.* | 835 | ||||||
| 30 | Illumina, Inc.* | 4,084 | ||||||
| 6 | Mettler-Toledo International, Inc.* | 2,424 | ||||||
| 11 | PAREXEL International Corp.* | 641 | ||||||
| 26 | PerkinElmer, Inc. | 1,323 | ||||||
| 77 | Thermo Fisher Scientific, Inc. | 11,321 | ||||||
| 16 | Waters Corp.* | 2,226 | ||||||
|
| |||||||
| 26,177 | ||||||||
|
| |||||||
| Metals & Mining – 0.6% | ||||||||
| 151 | AK Steel Holding Corp.* | 785 | ||||||
| 295 | Alcoa, Inc. | 8,472 | ||||||
| 83 | Allegheny Technologies, Inc. | 1,132 | ||||||
| 39 | Carpenter Technology Corp. | 1,233 | ||||||
| 102 | Commercial Metals Co. | 1,602 | ||||||
| 24 | Compass Minerals International, Inc. | 1,724 | ||||||
| 851 | Freeport-McMoRan, Inc. | 9,514 | ||||||
| 10 | Kaiser Aluminum Corp. | 725 | ||||||
| 368 | Newmont Mining Corp. | 13,631 | ||||||
| 215 | Nucor Corp. | 10,503 | ||||||
| 53 | Reliance Steel & Aluminum Co. | 3,645 | ||||||
| 46 | Royal Gold, Inc. | 3,166 | ||||||
| 177 | Steel Dynamics, Inc. | 4,860 | ||||||
| 92 | Stillwater Mining Co.* | 1,226 | ||||||
| 26 | TimkenSteel Corp.* | 267 | ||||||
| 108 | United States Steel Corp. | 2,089 | ||||||
| 18 | US Silica Holdings, Inc. | 831 | ||||||
| 36 | Worthington Industries, Inc. | 1,692 | ||||||
|
| |||||||
| 67,097 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels – 15.1% | ||||||||
| 134 | Anadarko Petroleum Corp. | 7,965 | ||||||
| 1,682 | Antero Midstream Partners LP | 49,014 | ||||||
| 99 | Apache Corp. | 5,889 | ||||||
| 983 | Buckeye Partners LP | 63,443 | ||||||
| 126 | Cabot Oil & Gas Corp. | 2,631 | ||||||
| 14 | Carrizo Oil & Gas, Inc.* | 474 | ||||||
| 531 | Cheniere Energy Partners LP | 14,072 | ||||||
| 132 | Chesapeake Energy Corp.* | 727 | ||||||
| 485 | Chevron Corp. | 50,804 | ||||||
| 26 | Cimarex Energy Co. | 3,357 | ||||||
| 34 | Concho Resources, Inc.* | 4,316 | ||||||
| 321 | ConocoPhillips | 13,947 | ||||||
| 62 | CONSOL Energy, Inc. | 1,051 | ||||||
| 505 | Delek Logistics Partners LP | 12,524 | ||||||
| 122 | Denbury Resources, Inc.* | 292 | ||||||
| 139 | Devon Energy Corp. | 5,267 | ||||||
| 26 | Energen Corp. | 1,303 | ||||||
|
| |||||||
| 32 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Oil, Gas & Consumable Fuels – (continued) | ||||||||
| 2,829 | Energy Transfer Partners LP | $ | 98,958 | |||||
| 5,192 | Enterprise Products Partners LP | 131,046 | ||||||
| 146 | EOG Resources, Inc. | 13,201 | ||||||
| 40 | EQT Corp. | 2,640 | ||||||
| 980 | EQT GP Holdings LP | 22,893 | ||||||
| 608 | EQT Midstream Partners LP | 45,521 | ||||||
| 1,067 | Exxon Mobil Corp. | 88,902 | ||||||
| 1,008 | Genesis Energy LP | 35,209 | ||||||
| 20 | Gulfport Energy Corp.* | 482 | ||||||
| 71 | Hess Corp. | 3,406 | ||||||
| 395 | Holly Energy Partners LP | 12,067 | ||||||
| 54 | HollyFrontier Corp. | 1,347 | ||||||
| 472 | Kinder Morgan, Inc. | 9,643 | ||||||
| 1,511 | Magellan Midstream Partners LP | 101,585 | ||||||
| 227 | Marathon Oil Corp. | 2,992 | ||||||
| 136 | Marathon Petroleum Corp. | 5,928 | ||||||
| 2,327 | MPLX LP | 79,165 | ||||||
| 39 | Murphy Oil Corp. | 1,009 | ||||||
| 57 | Newfield Exploration Co.* | 2,314 | ||||||
| 111 | Noble Energy, Inc. | 3,826 | ||||||
| 600 | Noble Midstream Partners LP* | 18,000 | ||||||
| 196 | Occidental Petroleum Corp. | 14,290 | ||||||
| 1,300 | ONEOK Partners LP | 51,662 | ||||||
| 53 | ONEOK, Inc. | 2,567 | ||||||
| 13 | PDC Energy, Inc.* | 797 | ||||||
| 121 | Phillips 66 | 9,819 | ||||||
| 547 | Phillips 66 Partners LP | 24,177 | ||||||
| 42 | Pioneer Natural Resources Co. | 7,519 | ||||||
| 3,433 | Plains All American Pipeline LP | 104,226 | ||||||
| 60 | QEP Resources, Inc. | 964 | ||||||
| 41 | Range Resources Corp. | 1,385 | ||||||
| 900 | SemGroup Corp. Class A | 29,025 | ||||||
| 673 | Shell Midstream Partners LP | 18,259 | ||||||
| 22 | SM Energy Co. | 740 | ||||||
| 119 | Southwestern Energy Co.* | 1,236 | ||||||
| 182 | Spectra Energy Corp. | 7,609 | ||||||
| 565 | Spectra Energy Partners LP | 24,092 | ||||||
| 2,668 | Sunoco Logistics Partners LP | 68,408 | ||||||
| 920 | Targa Resources Corp. | 40,388 | ||||||
| 415 | TC Pipelines LP | 21,646 | ||||||
| 33 | Tesoro Corp. | 2,804 | ||||||
| 1,117 | Tesoro Logistics LP | 53,326 | ||||||
| 833 | The Williams Cos., Inc. | 24,324 | ||||||
| 124 | Valero Energy Corp. | 7,346 | ||||||
| 909 | Valero Energy Partners LP | 37,024 | ||||||
| 935 | Western Gas Partners LP | 51,565 | ||||||
| 457 | Western Refining Logistics LP | 10,420 | ||||||
| 17 | Western Refining, Inc. | 490 | ||||||
| 1,782 | Williams Partners LP | 63,831 | ||||||
| 24 | World Fuel Services Corp. | 966 | ||||||
| 83 | WPX Energy, Inc.* | 901 | ||||||
|
| |||||||
| 1,599,016 | ||||||||
|
| |||||||
| Paper & Forest Products – 0.2% | ||||||||
| 30 | Boise Cascade Co.* | 577 | ||||||
| 14 | Clearwater Paper Corp.* | 743 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Paper & Forest Products – (continued) | ||||||||
| 6 | Deltic Timber Corp. | $ | 337 | |||||
| 48 | Domtar Corp. | 1,726 | ||||||
| 266 | International Paper Co. | 11,978 | ||||||
| 58 | KapStone Paper and Packaging Corp. | 1,052 | ||||||
| 96 | Louisiana-Pacific Corp.* | 1,762 | ||||||
| 10 | Neenah Paper, Inc. | 799 | ||||||
| 41 | PH Glatfelter Co. | 911 | ||||||
| 24 | Schweitzer-Mauduit International, Inc. | 886 | ||||||
|
| |||||||
| 20,771 | ||||||||
|
| |||||||
| Personal Products – 0.1% | ||||||||
| 122 | Avon Products, Inc. | 799 | ||||||
| 15 | Edgewell Personal Care Co.* | 1,131 | ||||||
| 52 | The Estee Lauder Cos., Inc. Class A | 4,531 | ||||||
|
| |||||||
| 6,461 | ||||||||
|
| |||||||
| Pharmaceuticals – 1.9% | ||||||||
| 309 | AbbVie, Inc. | 17,236 | ||||||
| 16 | Akorn, Inc.* | 383 | ||||||
| 74 | Allergan PLC* | 15,461 | ||||||
| 314 | Bristol-Myers Squibb Co. | 15,986 | ||||||
| 25 | Catalent, Inc.* | 570 | ||||||
| 17 | Depomed, Inc.* | 380 | ||||||
| 182 | Eli Lilly & Co. | 13,439 | ||||||
| 37 | Endo International PLC* | 694 | ||||||
| 16 | Impax Laboratories, Inc.* | 322 | ||||||
| 509 | Johnson & Johnson | 59,039 | ||||||
| 24 | Mallinckrodt PLC* | 1,422 | ||||||
| 521 | Merck & Co., Inc. | 30,593 | ||||||
| 86 | Mylan NV* | 3,139 | ||||||
| 39 | Nektar Therapeutics* | 484 | ||||||
| 27 | Perrigo Co. PLC | 2,246 | ||||||
| 1,145 | Pfizer, Inc. | 36,308 | ||||||
| 11 | Prestige Brands Holdings, Inc.* | 498 | ||||||
| 17 | The Medicines Co.* | 560 | ||||||
| 94 | Zoetis, Inc. | 4,493 | ||||||
|
| |||||||
| 203,253 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment* – 0.0% | ||||||||
| 67 | Versum Materials, Inc. | 1,521 | ||||||
|
| |||||||
| Tobacco – 0.7% | ||||||||
| 467 | Altria Group, Inc. | 30,878 | ||||||
| 376 | Philip Morris International, Inc. | 36,262 | ||||||
| 189 | Reynolds American, Inc. | 10,410 | ||||||
| 10 | Universal Corp. | 542 | ||||||
|
| |||||||
| 78,092 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $3,557,044) | $ | 3,912,127 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 33 |
GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
Schedule of Investments (continued)
October 31, 2016
| Shares | Description | Value | ||||||
| Exchange Traded Funds – 2.5% | ||||||||
| 5,898 | iShares Global Infrastructure ETF | $ | 237,218 | |||||
| 276 | iShares JPMorgan USD Emerging Markets Bond ETF | 31,654 | ||||||
|
| |||||||
| TOTAL EXCHANGE TRADED FUNDS | ||||||||
| (Cost $259,389) | $ | 268,872 | ||||||
|
| |||||||
| Shares | Distribution Rate | Value | ||||||||
| Investment Companies(a)(b) – 59.9% | ||||||||||
| Goldman Sachs Commodity Strategy Fund – Institutional Shares |
| ||||||||
| 10,792 | 0.530 | % | $ | 118,609 | ||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||||
| 1,240,756 | 0.300 | 1,240,756 | ||||||||
| Goldman Sachs Inflation Protected Securities Fund – Institutional | | ||||||||
| 353,159 | 0.550 | 3,775,272 | ||||||||
| Goldman Sachs Local Emerging Markets Debt Fund – | | ||||||||
| 41,364 | 5.130 | 267,210 | ||||||||
| Goldman Sachs Strategic Income Fund – Institutional Shares |
| ||||||||
| 100,168 | 2.280 | 961,609 | ||||||||
|
| |||||||||
| TOTAL INVESTMENT COMPANIES | ||||||||||
| (Cost $6,322,362) | $ | 6,363,456 | ||||||||
|
| |||||||||
| TOTAL INVESTMENTS – 99.3% | ||||||||||
| (Cost $10,138,795) | $ | 10,544,455 | ||||||||
|
| |||||||||
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 0.7% | | 74,617 | |||||||
|
| |||||||||
| NET ASSETS – 100.0% | $ | 10,619,072 | ||||||||
|
| |||||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | Represents an affiliated fund. | |
(b) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on October 31, 2016. | |
| ||
Investment Abbreviations: | ||
ETF | —Exchange Traded Fund | |
GP | —General Partnership | |
LLC | —Limited Liability Company | |
LP | —Limited Partnership | |
PLC | —Public Limited Company | |
CAD | —Canadian Dollar | |
CHF | —Swiss Franc | |
GBP | —British Pound | |
HUF | —Hungarian Forint | |
JPY | —Japanese Yen | |
NOK | —Norwegian Krone | |
NZD | —New Zealand Dollar | |
PLN | —Polish Zloty | |
SEK | —Swedish Krona | |
USD | —United States Dollar | |
| ||
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At October 31, 2016, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| Counterparty | Currency Purchased | Currency Sold | Current Value | Settlement Date | Unrealized Gain | |||||||||||||||||||
Morgan Stanley & Co. International PLC | NZD | 70,000 | USD | 49,525 | $ | 49,960 | 12/21/16 | $ | 435 | |||||||||||||||
| USD | 53,207 | CAD | 70,000 | 52,210 | 12/21/16 | 998 | ||||||||||||||||||
| USD | 62,369 | CHF | 60,000 | 60,820 | 12/21/16 | 1,549 | ||||||||||||||||||
| USD | 46,764 | GBP | 35,000 | 42,895 | 12/21/16 | 3,869 | ||||||||||||||||||
| USD | 51,391 | HUF | 14,000,000 | 49,816 | 12/21/16 | 1,575 | ||||||||||||||||||
| USD | 49,101 | JPY | 5,000,000 | 47,784 | 12/21/16 | 1,317 | ||||||||||||||||||
| USD | 51,892 | NZD | 70,000 | 49,960 | 12/21/16 | 1,931 | ||||||||||||||||||
| USD | 46,093 | PLN | 180,000 | 45,835 | 12/21/16 | 257 | ||||||||||||||||||
| TOTAL | $ | 11,931 | ||||||||||||||||||||||
| 34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| Counterparty | Currency Purchased | Currency Sold | Current Value | Settlement Date | Unrealized Loss | |||||||||||||||||||
Morgan Stanley & Co. International PLC | CHF | 60,000 | USD | 60,894 | $ | 60,820 | 12/21/16 | $ | (74 | ) | ||||||||||||||
| GBP | 35,000 | USD | 45,462 | 42,895 | 12/21/16 | (2,567 | ) | |||||||||||||||||
| NOK | 400,000 | USD | 49,354 | 48,418 | 12/21/16 | (936 | ) | |||||||||||||||||
| PLN | 180,000 | USD | 46,840 | 45,835 | 12/21/16 | (1,005 | ) | |||||||||||||||||
| SEK | 450,000 | USD | 53,416 | 49,956 | 12/21/16 | (3,461 | ) | |||||||||||||||||
| TOTAL | $ | (8,043 | ) | |||||||||||||||||||||
FUTURES CONTRACTS — At October 31, 2016, the Fund had the following futures contracts:
| Type | Number of Contracts Long (Short) | Expiration Date | Current Value | Unrealized Gain (Loss) | ||||||||||||
Eurodollar | (5 | ) | December 2017 | $ | (1,235,750 | ) | $ | (18,809 | ) | |||||||
Euro Stoxx 50 Index | (2 | ) | December 2016 | (67,029 | ) | (1,320 | ) | |||||||||
IBEX 35 Index | 1 | November 2016 | 100,191 | 5,268 | ||||||||||||
Mini MSCI Emerging Market | 3 | December 2016 | 249,855 | (8,541 | ) | |||||||||||
SGX Nifty 50 Index | 4 | November 2016 | 68,832 | (1,214 | ) | |||||||||||
S&P 500 E-Mini Index | 1 | December 2016 | 106,005 | (2,537 | ) | |||||||||||
10 Year U.S. Treasury Notes | (18 | ) | December 2016 | (2,333,250 | ) | 29,179 | ||||||||||
U.S. Long Bonds | (1 | ) | December 2016 | (162,719 | ) | 7,420 | ||||||||||
| TOTAL | $ | 9,446 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 35 |
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Statements of Assets and Liabilities
October 31, 2016
Absolute Return Multi-Asset Fund(a) | Multi-Asset Real Return Fund | |||||||||
| Assets: | ||||||||||
Investments of unaffiliated issuers, at value (cost $5,017,914 and $3,816,433) | $ | 4,930,848 | $ | 4,180,999 | ||||||
Investments of affiliated issuers, at value (cost $18,063,259 and $6,322,362) | 17,878,103 | 6,363,456 | ||||||||
Cash | 507,177 | 111,925 | ||||||||
Foreign currencies, at value (cost $184,418 and $0, respectively) | 186,722 | — | ||||||||
Unrealized gain on forward foreign currency exchange contracts | 147,682 | 11,931 | ||||||||
Variation margin on certain derivative contracts | 35,126 | — | ||||||||
Unrealized gain on swap contracts | 18,758 | — | ||||||||
Receivables: | ||||||||||
Collateral on certain derivative contracts(b) | 1,196,723 | 70,674 | ||||||||
Reimbursement from investment adviser | 133,516 | 26,510 | ||||||||
Investments sold | 63,423 | 4,503 | ||||||||
Dividends and interest | 13,403 | 15,079 | ||||||||
Foreign tax reclaims | 1,929 | — | ||||||||
Other assets | 40,692 | 44 | ||||||||
| Total assets | 25,154,102 | 10,785,121 | ||||||||
| Liabilities: | ||||||||||
Unrealized loss on forward foreign currency exchange contracts | 88,089 | 8,043 | ||||||||
Written option contracts, at value (premium received $79,868 and $0, respectively) | 72,147 | — | ||||||||
Unrealized loss on swap contracts | 6,904 | — | ||||||||
Variation margin on certain derivative contracts | — | 2,275 | ||||||||
Payables: | ||||||||||
Investments purchased | 14,241 | 14,309 | ||||||||
Management fees | 9,224 | 3,861 | ||||||||
Due to broker — upfront payment | 8,089 | — | ||||||||
Distribution and service fees and transfer agency fees | 907 | 407 | ||||||||
Fund shares redeemed | 820 | — | ||||||||
Accrued expenses and other liabilities | 231,174 | 137,154 | ||||||||
| Total liabilities | 431,595 | 166,049 | ||||||||
| Net Assets: | ||||||||||
Paid-in capital | 25,191,584 | 11,326,810 | ||||||||
Undistributed (distributions in excess of) net investment income | 289,415 | (6,277 | ) | |||||||
Accumulated net realized loss (loss) | (706,333 | ) | (1,119,954 | ) | ||||||
Net unrealized gain (loss) | (52,159 | ) | 418,493 | |||||||
| NET ASSETS | $ | 24,722,507 | $ | 10,619,072 | ||||||
Net Assets: | ||||||||||
Class A | $ | 82,643 | $ | 53,122 | ||||||
Class C | 24,262 | 9,729 | ||||||||
Institutional | 24,542,061 | 10,495,560 | ||||||||
Class IR | 24,542 | 25,117 | ||||||||
Class R | 24,401 | 24,714 | ||||||||
Class R6 | 24,598 | 10,830 | ||||||||
Total Net Assets | $ | 24,722,507 | $ | 10,619,072 | ||||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||||||
Class A | 8,479 | 5,648 | ||||||||
Class C | 2,505 | 1,038 | ||||||||
Institutional | 2,510,148 | 1,118,458 | ||||||||
Class IR | 2,514 | 2,673 | ||||||||
Class R | 2,509 | 2,626 | ||||||||
Class R6 | 2,515 | 1,154 | ||||||||
Net asset value, offering and redemption price per share:(c) | ||||||||||
Class A | $9.75 | $9.41 | ||||||||
Class C | 9.68 | (d) | 9.38 | (d) | ||||||
Institutional | 9.78 | 9.38 | ||||||||
Class IR | 9.76 | 9.40 | ||||||||
Class R | 9.72 | (d) | 9.41 | |||||||
Class R6 | 9.78 | 9.39 | (d) | |||||||
| (a) | Statement of Assets and Liabilities for the Absolute Return Multi-Asset Fund is consolidated and includes the balances of a wholly-owned subsidiary, Cayman Commodity — ARM, Ltd. Accordingly, all interfund balances and transactions have been eliminated. |
| (b) | Includes amounts segregated for initial margin and/or collateral on futures transactions, options and swaps transactions of $505,405, $544,921 and $146,397, respectively for the Absolute Return Multi-Asset Fund and $70,674, $0 and $0, respectively for the Multi-Asset Real Return Fund. |
| (c) | Maximum public offering price per share for Class A Shares of the Absolute Return Multi-Asset Fund and the Multi-Asset Real Return Fund are $10.32 and $9.96 At redemption, Class C shares may be subject to a contingent deferred sales charge assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares. |
| (d) | NAV per share is calculated using unrounded outstanding shares. |
| 36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Statements of Operations
For the Fiscal Year Ended October 31, 2016
Absolute Return Multi-Asset Fund(a) | Multi-Asset Real Return Fund | |||||||||
| Investment income: | ||||||||||
Dividends — unaffiliated issuers (net of foreign withholding taxes of $3,125 and $0) | $ | 53,821 | $ | 83,965 | ||||||
Dividends — affiliated issuers | 343,965 | 90,271 | ||||||||
Interest | 1,046 | 1,731 | ||||||||
| Total investment income | 398,832 | 175,967 | ||||||||
| Expenses: | ||||||||||
Management fees | 208,790 | 72,361 | ||||||||
Professional fees | 204,709 | 111,310 | ||||||||
Amortization of offering costs | 145,535 | — | ||||||||
Custody, accounting and administrative services | 139,874 | 81,321 | ||||||||
Registration fees | 66,993 | 116,842 | ||||||||
Trustee fees | 14,273 | 19,980 | ||||||||
Printing and mailing costs | 14,188 | 46,338 | ||||||||
Transfer Agency fees(b) | 10,030 | 4,304 | ||||||||
Distribution and Service fees(b) | 528 | 345 | ||||||||
Other | 9,807 | 3,055 | ||||||||
| Total expenses | 814,727 | 455,856 | ||||||||
Less — expense reductions | (692,862 | ) | (400,185 | ) | ||||||
| Net expenses | 121,865 | 55,671 | ||||||||
| NET INVESTMENT INCOME | 276,967 | 120,296 | ||||||||
| Realized and unrealized gain (loss): | ||||||||||
Capital gain distributions from Affiliated Underlying Funds | 26,359 | — | ||||||||
Net realized gain (loss) from: | ||||||||||
Investment — unaffiliated issuers | 57,790 | 17,862 | ||||||||
Investments — affiliated issuers | (427,210 | ) | (702,114 | ) | ||||||
Futures contracts | (487,458 | ) | (128,214 | ) | ||||||
Written options | 298,897 | — | ||||||||
Swap contracts | (55,467 | ) | — | |||||||
Forward foreign currency exchange contracts | 81,208 | 3,375 | ||||||||
Foreign currency transactions | 4,115 | (244 | ) | |||||||
Net change in unrealized gain (loss) on: | ||||||||||
Investments — unaffiliated issuers | (171,523 | ) | 79,970 | |||||||
Investments — affiliated issuers | (38,700 | ) | 712,755 | |||||||
Futures contracts | 130,139 | (11,997 | ) | |||||||
Written options | (11,171 | ) | — | |||||||
Swap contracts | 15,352 | — | ||||||||
Forward foreign currency exchange contracts | 41,752 | (434 | ) | |||||||
Foreign currency translation | 3,167 | (501 | ) | |||||||
| Net realized and unrealized loss | (532,750 | ) | (29,542 | ) | ||||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (255,783 | ) | $ | 90,754 | |||||
| (a) | Statement of Operations for the Absolute Return Multi-Asset Fund is consolidated and includes the balances of a wholly-owned subsidiary, Cayman Commodity — ARM, Ltd. Accordingly, all interfund balances and transactions have been eliminated. |
| (b) | Class specific Distribution and Service, and Transfer Agency fees were as follows: |
| Distribution and Service Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||
Fund | Class A | Class C | Class R | Class A | Class C | Institutional | Class IR | Class R | Class R6 | |||||||||||||||||||||||||||
Absolute Return Multi-Asset | $ | 163 | $ | 243 | $ | 122 | $ | 124 | $ | 47 | $ | 9,760 | $ | 48 | $ | 47 | $ | 4 | ||||||||||||||||||
Multi-Asset Real Return | 129 | 95 | 121 | 98 | 18 | 4,087 | 53 | 46 | 2 | (c) | ||||||||||||||||||||||||||
| (c) | Commenced operations on February 26, 2016. |
| The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Statements of Changes in Net Assets
| Absolute Return Multi-Asset Fund(a) | ||||||||||
For the Fiscal Year Ended October 31, 2016 | For the October 31, 2015(b) | |||||||||
| From operations: | ||||||||||
Net investment income | $ | 276,967 | $ | 1,523 | ||||||
Net realized loss | (501,766 | ) | (138,218 | ) | ||||||
Net change in unrealized loss | (30,984 | ) | (21,175 | ) | ||||||
| Net decrease in net assets resulting from operations | (255,783 | ) | (157,870 | ) | ||||||
| Distributions to shareholders: | ||||||||||
From net investment income | ||||||||||
Class A Shares | (112 | ) | — | |||||||
Class C Shares | (50 | ) | — | |||||||
Institutional Shares | (143,777 | ) | — | |||||||
Class IR Shares | (133 | ) | — | |||||||
Class R Shares | (92 | ) | — | |||||||
Class R6 Shares | (146 | ) | — | |||||||
| Total distributions to shareholders | (144,310 | ) | — | |||||||
| From share transactions: | ||||||||||
Proceeds from sales of shares | 162,380 | 25,001,156 | ||||||||
Reinvestment of distributions | 144,310 | — | ||||||||
Cost of shares redeemed | (27,291 | ) | (85 | ) | ||||||
| Net increase in net assets resulting from share transactions | 279,399 | 25,001,071 | ||||||||
| TOTAL INCREASE (DECREASE) | (120,694 | ) | 24,843,201 | |||||||
| Net assets: | ||||||||||
Beginning of year | 24,843,201 | — | ||||||||
End of year | $ | 24,722,507 | $ | 24,843,201 | ||||||
| Undistributed (distributions in excess of) net investment income | $ | 289,415 | $ | (77,460 | ) | |||||
| (a) | Statement of Changes in Net Assets for the Absolute Return Multi-Asset Fund is consolidated and includes the balances of a wholly-owned subsidiary, Cayman Commodity — ARM, Ltd. Accordingly, all interfund balances and transactions have been eliminated. |
| (b) | Commenced operations on September 2, 2015. |
| 38 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Statements of Changes in Net Assets
| Multi-Asset Real Return Fund | ||||||||||
For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||
| From operations: | ||||||||||
Net investment income | $ | 120,296 | $ | 172,034 | ||||||
Net realized loss | (809,335 | ) | (305,359 | ) | ||||||
Net change in unrealized gain (loss) | 779,793 | (739,878 | ) | |||||||
| Net increase (decrease) in net assets resulting from operations | 90,754 | (873,203 | ) | |||||||
| Distributions to shareholders: | ||||||||||
From net investment income | ||||||||||
Class A Shares | (545 | ) | (622 | ) | ||||||
Class C Shares | (38 | ) | (34 | ) | ||||||
Institutional Shares | (172,034 | ) | (159,243 | ) | ||||||
Class IR Shares | (394 | ) | (409 | ) | ||||||
Class R Shares | (175 | ) | (210 | ) | ||||||
Class R6 Shares(a) | (120 | ) | — | |||||||
From net realized gains | ||||||||||
Class A Shares | — | (1,311 | ) | |||||||
Class C Shares | — | (219 | ) | |||||||
Institutional Shares | — | (230,605 | ) | |||||||
Class IR Shares | — | (660 | ) | |||||||
Class R Shares | — | (551 | ) | |||||||
Class R6 Shares(a) | — | — | ||||||||
From Capital | ||||||||||
Class A Shares | (27 | ) | — | |||||||
Class C Shares | (2 | ) | — | |||||||
Institutional Shares | (8,568 | ) | — | |||||||
Class IR Shares | (20 | ) | — | |||||||
Class R Shares | (9 | ) | — | |||||||
Class R6 Shares(a) | (6 | ) | — | |||||||
| Total distributions to shareholders | (181,938 | ) | (393,864 | ) | ||||||
| From share transactions: | ||||||||||
Proceeds from sales of shares | 55,372 | 75,412 | ||||||||
Reinvestment of distributions | 181,938 | 386,425 | ||||||||
Cost of shares redeemed | (66,488 | ) | (40,691 | ) | ||||||
| Net increase in net assets resulting from share transactions | 170,822 | 421,146 | ||||||||
| TOTAL INCREASE (DECREASE) | 79,638 | (845,921 | ) | |||||||
| Net assets: | ||||||||||
Beginning of year | 10,539,434 | 11,385,355 | ||||||||
End of year | $ | 10,619,072 | $ | 10,539,434 | ||||||
| Undistributed net investment income | $ | (6,277 | ) | $ | 39,134 | |||||
| (a) | Commenced operations on February 26, 2016. |
| The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from investment operations | ||||||||||||||||||||||
| Year - Share Class | Net asset value, beginning of year | Net investment income (loss)(a) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions to shareholder from net investment income | |||||||||||||||||
| FOR THE FISCAL YEAR ENDED OCTOBER 31, | ||||||||||||||||||||||
2016 - A | $ | 9.93 | $ | 0.05 | $ | (0.19 | ) | $ | (0.14 | ) | $ | (0.04 | ) | |||||||||
2016 - C | 9.92 | — | (f) | (0.22 | ) | (0.22 | ) | (0.02 | ) | |||||||||||||
2016 - Institutional | 9.94 | 0.11 | (0.21 | ) | (0.10 | ) | (0.06 | ) | ||||||||||||||
2016 - IR | 9.93 | 0.10 | (0.22 | ) | (0.12 | ) | (0.05 | ) | ||||||||||||||
2016 - R | 9.93 | 0.05 | (0.22 | ) | (0.17 | ) | (0.04 | ) | ||||||||||||||
2016 - R6 | 9.94 | 0.11 | (0.21 | ) | (0.10 | ) | (0.06 | ) | ||||||||||||||
| FOR THE PERIOD ENDED OCTOBER 31, | ||||||||||||||||||||||
2015 - A (Commenced September 2, 2015) | 10.00 | (0.01 | ) | (0.06 | ) | (0.07 | ) | — | ||||||||||||||
2015 - C (Commenced September 2, 2015) | 10.00 | (0.02 | ) | (0.06 | ) | (0.08 | ) | — | ||||||||||||||
2015 - Institutional (Commenced September 2, 2015) | 10.00 | — | (g) | (0.06 | ) | (0.06 | ) | — | ||||||||||||||
2015 - IR (Commenced September 2, 2015) | 10.00 | — | (f) | (0.07 | ) | (0.07 | ) | — | ||||||||||||||
2015 - R (Commenced September 2, 2015) | 10.00 | (0.01 | ) | (0.06 | ) | (0.07 | ) | — | ||||||||||||||
2015 - R6 (Commenced September 2, 2015) | 10.00 | — | (g) | (0.06 | ) | (0.06 | ) | — | ||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (c) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (e) | Annualized. |
| (f) | Amount is less than ($0.005) per share. |
| (g) | Amount is less than $0.005 per share. |
| 40 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Net asset value, end of year | Total return(b) | Net assets, end of year (in 000s) | Ratio of net expenses to average net assets(c) | Ratio of total expenses to average net assets(c) | Ratio of net investment income (loss) to average net assets | Portfolio turnover rate(d) | ||||||||||||||||||||||||||||||||||
| $ | 9.75 | (1.36 | )% | $ | 83 | 0.79 | % | 4.01 | % | 0.53 | % | 38 | % | |||||||||||||||||||||||||||
| 9.68 | (2.01 | ) | 24 | 1.65 | 4.46 | (0.02 | ) | 38 | ||||||||||||||||||||||||||||||||
| 9.78 | (0.93 | ) | 24,542 | 0.49 | 3.31 | 1.13 | 38 | |||||||||||||||||||||||||||||||||
| 9.76 | (1.18 | ) | 25 | 0.65 | 3.47 | 0.98 | 38 | |||||||||||||||||||||||||||||||||
| 9.72 | (1.64 | ) | 24 | 1.15 | 3.97 | 0.48 | 38 | |||||||||||||||||||||||||||||||||
| 9.78 | (0.92 | ) | 25 | 0.47 | 3.28 | 1.16 | 38 | |||||||||||||||||||||||||||||||||
| 9.93 | (0.70 | ) | 25 | 1.23 | (e) | 3.81 | (e) | (0.36 | )(e) | 1 | ||||||||||||||||||||||||||||||
| 9.92 | (0.90 | ) | 26 | 1.98 | (e) | 4.55 | (e) | (1.10 | )(e) | 1 | ||||||||||||||||||||||||||||||
| 9.94 | (0.70 | ) | 24,718 | 0.82 | (e) | 3.40 | (e) | 0.04 | (e) | 1 | ||||||||||||||||||||||||||||||
| 9.93 | (0.70 | ) | 25 | 0.98 | (e) | 3.57 | (e) | (0.11 | )(e) | 1 | ||||||||||||||||||||||||||||||
| 9.93 | (0.80 | ) | 25 | 1.48 | (e) | 4.07 | (e) | (0.62 | )(e) | 1 | ||||||||||||||||||||||||||||||
| 9.94 | (0.70 | ) | 25 | 0.77 | (e) | 3.35 | (e) | 0.10 | (e) | 1 | ||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 41 |
GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| Income (loss) from investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||||
| Year - Share Class | Net asset value, beginning of period | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | From capital | Total distributions | ||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||||
2016 - A | $ | 9.47 | $ | 0.07 | $ | (0.03 | ) | $ | 0.04 | $ | (0.10 | ) | $ | — | $ | — | (e) | $ | (0.10 | ) | ||||||||||||||
2016 - C | 9.44 | — | (e) | (0.02 | ) | (0.02 | ) | (0.04 | ) | — | — | (e) | (0.04 | ) | ||||||||||||||||||||
2016 - Institutional | 9.47 | 0.11 | (0.04 | ) | 0.07 | (0.16 | ) | — | — | (e) | (0.16 | ) | ||||||||||||||||||||||
2016 - IR | 9.47 | 0.09 | (0.02 | ) | 0.07 | (0.13 | ) | — | (0.01 | ) | (0.14 | ) | ||||||||||||||||||||||
2016 - R | 9.46 | 0.05 | (0.03 | ) | 0.02 | (0.07 | ) | — | — | (e) | (0.07 | ) | ||||||||||||||||||||||
2016 - R6 (Commenced February 26, 2016) | 8.77 | 0.05 | 0.68 | 0.73 | (0.10 | ) | — | (0.01 | ) | (0.11 | ) | |||||||||||||||||||||||
2015 - A | 10.63 | 0.11 | (0.95 | ) | (0.84 | ) | (0.14 | ) | (0.18 | ) | — | (0.32 | ) | |||||||||||||||||||||
2015 - C | 10.61 | 0.04 | (0.96 | ) | (0.92 | ) | (0.07 | ) | (0.18 | ) | — | (0.25 | ) | |||||||||||||||||||||
2015 - Institutional | 10.64 | 0.16 | (0.97 | ) | (0.81 | ) | (0.18 | ) | (0.18 | ) | — | (0.36 | ) | |||||||||||||||||||||
2015 - IR | 10.63 | 0.14 | (0.95 | ) | (0.81 | ) | (0.17 | ) | (0.18 | ) | — | (0.35 | ) | |||||||||||||||||||||
2015 - R | 10.62 | 0.09 | (0.95 | ) | (0.86 | ) | (0.12 | ) | (0.18 | ) | — | (0.30 | ) | |||||||||||||||||||||
2014 - A | 10.35 | 0.11 | 0.33 | 0.44 | (0.12 | ) | (0.04 | ) | — | (0.16 | ) | |||||||||||||||||||||||
2014 - C | 10.34 | 0.03 | 0.33 | 0.36 | (0.05 | ) | (0.04 | ) | — | (0.09 | ) | |||||||||||||||||||||||
2014 - Institutional | 10.35 | 0.15 | 0.34 | 0.49 | (0.16 | ) | (0.04 | ) | — | (0.20 | ) | |||||||||||||||||||||||
2014 - IR | 10.35 | 0.14 | 0.32 | 0.46 | (0.14 | ) | (0.04 | ) | — | (0.18 | ) | |||||||||||||||||||||||
2014 - R | 10.34 | 0.08 | 0.33 | 0.41 | (0.09 | ) | (0.04 | ) | — | (0.13 | ) | |||||||||||||||||||||||
| FOR THE PERIOD ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||||
2013 - A (Commenced August 30, 2013) | 10.00 | 0.01 | 0.34 | 0.35 | — | — | — | — | ||||||||||||||||||||||||||
2013 - C (Commenced August 30, 2013) | 10.00 | — | (e) | 0.34 | 0.34 | — | — | — | — | |||||||||||||||||||||||||
2013 - Institutional (Commenced August 30, 2013) | 10.00 | 0.02 | 0.33 | 0.35 | — | — | — | — | ||||||||||||||||||||||||||
2013 - IR (Commenced August 30, 2013) | 10.00 | 0.02 | 0.33 | 0.35 | — | — | — | — | ||||||||||||||||||||||||||
2013 - R (Commenced August 30, 2013) | 10.00 | 0.01 | 0.33 | 0.34 | — | — | — | — | ||||||||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (c) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (e) | Amount is less than $0.005 per share. |
| (f) | Annualized. |
| 42 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
| Net asset value, end of period | Total return(b) | Net assets, end of period (in 000s) | Ratio of net expenses to average net assets(c) | Ratio of total expenses to average net assets(c) | Ratio of net investment income to average net assets | Portfolio turnover rate(d) | ||||||||||||||||||||||||||||||||||
| $ | 9.41 | 0.46 | % | $ | 53 | 0.93 | % | 4.81 | % | 0.77 | % | 30 | % | |||||||||||||||||||||||||||
| 9.38 | (0.23 | ) | 10 | 1.70 | 5.56 | 0.01 | 30 | |||||||||||||||||||||||||||||||||
| 9.38 | 0.80 | 10,496 | 0.53 | 4.41 | 1.17 | 30 | ||||||||||||||||||||||||||||||||||
| 9.40 | 0.78 | 25 | 0.68 | 4.54 | 1.00 | 30 | ||||||||||||||||||||||||||||||||||
| 9.41 | 0.23 | 25 | 1.18 | 5.05 | 0.52 | 30 | ||||||||||||||||||||||||||||||||||
| 9.39 | 8.32 | 11 | 0.46 | (f) | 4.72 | (f) | 0.87 | (f) | 30 | |||||||||||||||||||||||||||||||
| 9.47 | (8.04 | ) | 53 | 0.96 | 3.86 | 1.15 | 38 | |||||||||||||||||||||||||||||||||
| 9.44 | (8.84 | ) | 10 | 1.69 | 4.60 | 0.45 | 38 | |||||||||||||||||||||||||||||||||
| 9.47 | (7.75 | ) | 10,423 | 0.56 | 3.47 | 1.58 | 38 | |||||||||||||||||||||||||||||||||
| 9.47 | (7.80 | ) | 30 | 0.71 | 3.61 | 1.44 | 38 | |||||||||||||||||||||||||||||||||
| 9.46 | (8.28 | ) | 25 | 1.21 | 4.11 | 0.94 | 38 | |||||||||||||||||||||||||||||||||
| 10.63 | 4.28 | 49 | 0.99 | 4.75 | 1.00 | 34 | ||||||||||||||||||||||||||||||||||
| 10.61 | 3.47 | 11 | 1.76 | 5.86 | 0.28 | 34 | ||||||||||||||||||||||||||||||||||
| 10.64 | 4.77 | 11,272 | 0.59 | 4.69 | 1.45 | 34 | ||||||||||||||||||||||||||||||||||
| 10.63 | 4.51 | 27 | 0.73 | 4.83 | 1.31 | 34 | ||||||||||||||||||||||||||||||||||
| 10.62 | 4.00 | 27 | 1.24 | 5.34 | 0.80 | 34 | ||||||||||||||||||||||||||||||||||
| 10.35 | 3.50 | 10 | 0.97 | (f) | 5.91 | (f) | 0.80 | (f) | 4 | |||||||||||||||||||||||||||||||
| 10.34 | 3.40 | 10 | 1.72 | (f) | 6.66 | (f) | 0.06 | (f) | 4 | |||||||||||||||||||||||||||||||
| 10.35 | 3.50 | 10,413 | 0.61 | (f) | 5.54 | (f) | 1.16 | (f) | 4 | |||||||||||||||||||||||||||||||
| 10.35 | 3.50 | 26 | 0.79 | (f) | 5.71 | (f) | 0.98 | (f) | 4 | |||||||||||||||||||||||||||||||
| 10.34 | 3.40 | 26 | 1.25 | (f) | 6.18 | (f) | 0.52 | (f) | 4 | |||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 43 |
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Notes to Financial Statements
October 31, 2016
| 1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
| Fund | Share Classes Offered | Diversified/ Non-diversified | ||||||
Absolute Return Multi-Asset | A, C, Institutional, IR, R and R6 | Diversified | ||||||
Multi-Asset Real Return | A, C, Institutional, IR, R and R6* | Diversified |
| * | Class R6 commenced operations on February 26, 2016. |
Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Class IR, Class R and Class R6 Shares are not subject to a sales charge.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust.
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.
A. Basis of Consolidation for Absolute Return Multi-Asset Fund — The Cayman Commodity-ARM, Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated on May 14, 2015 and is currently a wholly-owned subsidiary of the Absolute Return Multi-Asset Fund (the “Fund”). The Subsidiary acts as an investment vehicle for the Fund to enable the Fund to gain exposure to certain types of commodity-linked derivative instruments. The Fund is the sole shareholder of the Subsidiary pursuant to a subscription agreement dated as of September 2, 2015, and it is intended that the Fund will remain the sole shareholder and will continue to control the Subsidiary. Under the Memorandum and Articles of Association of the Subsidiary, shares issued by the Subsidiary confer upon a shareholder the right to vote at general meetings of the Subsidiary and certain rights in connection with any winding-up or repayment of capital, as well as the right to participate in the profits or assets of the Subsidiary. All inter-fund balances and transactions have been eliminated in consolidation. As of October 31, 2016, the Fund’s net assets were $ 24,722,507, of which, $5,020,427, or 20.3%, represented the Subsidiary’s net assets.
B. Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
C. Investment Income and Investments — Investment income includes interest income, dividend income, net of any foreign withholding taxes, less any amounts reclaimable, and securities lending income. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT.
Distributions from master limited partnerships (“MLPs”) are generally recorded based on the characterization reported on the MLP’s tax return. The Fund records its pro-rata share of the income/loss and capital gains/losses, allocated from the underlying partnerships and adjusts the cost basis of the underlying partnerships accordingly.
44
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
For derivative contracts, realized gains and losses are recorded upon settlement of the contract. Upfront payments, if any, are made or received upon entering into a swap agreement and are reflected in the Statements of Assets and Liabilities. Upfront payments are recognized over the contract’s term/event as realized gains or losses, with the exception of forward starting interest rate swaps whose realized gains or losses are recognized from the effective start date.
For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income.
D. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees.
E. Offering Costs — Offering costs paid in connection with the offering of shares of the Absolute Return Multi-Asset Fund were amortized on a straight-line basis over 12 months from the date of commencement of operations.
F. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared daily and paid monthly, and capital gains distributions, if any, are declared and paid annually.
The Subsidiary is classified as a controlled foreign corporation under the Code. Therefore, the Absolute Return Multi-Asset Fund is required to increase its taxable income by its share of the Subsidiary’s income. Net losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods.
Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
G. Foreign Currency Translation — The accounting records and reporting currency of the Funds are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statements of Operations within net change in unrealized gain (loss) on foreign currency translations. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to
45
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Funds’ policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ portfolio investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities are valued at the last bid price for long positions and at the last ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
Underlying Funds (including Money Market Funds) — Underlying Funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share of the Institutional Share class on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Funds invest in Underlying Funds that fluctuate in value, the Funds shares will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A Fund enter into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers.
46
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or settlement price and typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
A forward foreign currency contract is a forward contract in which a Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked-to-market daily at the applicable forward rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. Option Contracts — When a Fund writes call or put option contracts, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts.
Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
iv. Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.
A credit default swap is an agreement that involves one party (the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation,
47
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
including a group of assets or exposure to the performance of an index. A Fund’s investment in credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If a Fund buys protection through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified credit event, a Fund, as a buyer of credit protection, is entitled to receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.
As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if a Fund sells protection through a credit default swap, a Fund could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap paid to the buyer of protection. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade. Recovery values are at times established through the credit event auction process in which market participants are ensured that a transparent price has been set for the defaulted security or obligation. In addition, a Fund is entitled to a return of any assets, which have been pledged as collateral to the counterparty upon settlement.
The maximum potential amount of future payments (undiscounted) that a Fund as seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where a Fund bought credit protection.
A total return swap is an agreement that gives a Fund the right to receive the appreciation in the value of a specified security, index or other instrument in return for a fee paid to the counterparty, which will typically be an agreed upon interest rate. If the underlying asset declines in value over the term of the swap, a Fund may also be required to pay the dollar value of that decline to the counterparty.
Short Term Investments — Short-term investments having a maturity of 60 days or less are valued using available market quotations as provided by a third party pricing vendor or broker. Prior to October 11, 2016, such securities were valued at amortized cost. These investments are classified as Level 2 of the fair value hierarchy.
Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Funds’ investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.
48
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
B. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of October 31, 2016:
| ABSOLUTE RETURN MULTI-ASSET FUND | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | — | $ | 413,147 | $ | — | ||||||
Europe | — | 906,867 | — | |||||||||
North America | 1,739,400 | — | — | |||||||||
Fixed Income | ||||||||||||
U.S. Treasury Obligations | 1,223,728 | — | — | |||||||||
Investment Companies | 17,878,103 | — | — | |||||||||
Exchange Traded Fund | 305,763 | — | — | |||||||||
| Total | $ | 21,146,994 | $ | 1,320,014 | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets | ||||||||||||
Options Purchased | $ | 320,144 | $ | 21,799 | $ | — | ||||||
Forward Foreign Currency Exchange Contracts(b) | — | 147,682 | — | |||||||||
Futures Contracts(b) | 310,498 | — | — | |||||||||
Credit Default Swap Contracts(b) | — | 5,965 | — | |||||||||
Total Return Swap Contracts(b) | — | 18,758 | — | |||||||||
| Total | $ | 630,642 | $ | 194,204 | $ | — | ||||||
| Liabilities | ||||||||||||
Forward Foreign Currency Exchange Contracts(b) | $ | — | $ | (88,089 | ) | $ | — | |||||
Futures Contracts(b) | (175,268 | ) | — | — | ||||||||
Credit Default Swap Contracts(b) | — | (2,467 | ) | — | ||||||||
Total Return Swap Contracts(b) | — | (6,904 | ) | — | ||||||||
Written Options Contracts | — | (72,147 | ) | — | ||||||||
| Total | $ | (175,268 | ) | $ | (169,607 | ) | $ | — | ||||
| MULTI-ASSET REAL RETURN FUND | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Europe | $ | 28,007 | $ | — | $ | — | ||||||
North America | 3,884,042 | 78 | — | |||||||||
Exchange Traded Funds | 268,872 | — | — | |||||||||
Investment Companies | 6,363,456 | — | — | |||||||||
| Total | $ | 10,544,377 | $ | 78 | $ | — | ||||||
49
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| MULTI-ASSET REAL RETURN FUND (continued) | ||||||||||||
| Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets(b) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 11,931 | $ | — | ||||||
Futures Contracts | 41,867 | — | — | |||||||||
| Total | $ | 41,867 | $ | 11,931 | $ | — | ||||||
| Liabilities(b) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (8,043 | ) | $ | — | |||||
Futures Contracts | (32,421 | ) | — | — | ||||||||
| Total | $ | (32,421 | ) | $ | (8,043 | ) | $ | — | ||||
| (a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification. |
| (b) | Amount shown represents unrealized gain (loss) at period end. |
| 4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts as of October 31, 2016. These instruments were used as part of the Funds’ investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.
| Absolute Return Multi-Asset Fund | ||||||||||||
| Risk | Consolidated Statements of Assets | Assets | Consolidated Statements of Assets and Liabilities | Liabilities | ||||||||
Interest Rate | Variation margin on certain derivative contracts; Investments, at value | $ | 407,583 | (a) | Variation margin on certain derivative contracts | $ | (19,898) | (a) | ||||
Commodity | Receivable for unrealized gain on swap contracts; Variation margin on certain derivative contracts | 117,070 | (a) | Payable for unrealized loss swap contracts; Variation margin on certain derivative contracts | (111,191) | (a)(b) | ||||||
Credit | Variation margin on certain derivative contracts | 5,965 | (a) | Variation margin on certain derivative contracts | (2,467) | (a) | ||||||
Equity | Variation margin on certain derivative contracts; Investments, at value | 146,546 | (a) | Variation margin on certain derivative contracts; Written Options, at value | (123,230) | |||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 147,682 | Payable for unrealized loss on forward foreign currency exchange contracts | (88,089) | ||||||||
| Total | $ | 824,846 | $ | (344,875) | ||||||||
50
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
| 4. INVESTMENTS IN DERIVATIVES (continued) |
| Multi-Asset Real Return Fund | ||||||||||||
| Risk | Statements of Assets | Assets | Statements of Assets and Liabilities | Liabilities | ||||||||
Interest rate | Variation margin on certain derivative contracts | $ | 36,599 | (a) | Variation margin on certain derivative contracts | $ | (18,809) | (a) | ||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 11,931 | Payable for unrealized loss on forward foreign currency exchange contracts | (8,043) | ||||||||
Equity | Variation margin on certain derivative contracts | 5,268 | (a) | Variation margin on certain derivative contracts | (13,612) | (a) | ||||||
| Total | $ | 53,798 | $ | (40,464) | ||||||||
| (a) | Includes unrealized gain (loss) on futures contracts and centrally cleared swaps described in the Additional Investment Information sections of the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
| (b) | Aggregate of amounts include $6,904 for the Absolute Return Multi-Asset Fund, which represent the payments to be made pursuant to bilateral agreements should counterparties exercise their “right to terminate” provisions based on, among others, the Fund’s performance, its failure to pay on its obligations or failure to pledge collateral. Such amounts do not include incremental charges directly associated with the close-out of the agreements. They also do not reflect the fair value of any assets pledged as collateral which, through the daily margining process, substantially offsets the aforementioned amounts and for which the Fund is entitled to a full return. |
The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended October 31, 2016. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:
| Absolute Return Multi-Asset Fund | ||||||||||||||
| Risk | Consolidated Statements of Operations | Net Realized Gain (Loss) | Net Change in Gain (Loss) | Average Number of | ||||||||||
| Interest rate | Net realized gain (loss) from investments and futures contracts/Net change in unrealized gain (loss) on investments and futures contracts | $ | (122,169 | ) | $ | (24,741 | ) | 129 | ||||||
| Commodity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | (9,565 | ) | (60,017 | ) | 104 | ||||||||
| Credit | Net realized gain (loss) on swap contracts/Net change in unrealized gain (loss) on swap contracts | 35,868 | 3,498 | 2 | ||||||||||
| Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | 81,208 | 41,752 | 143 | ||||||||||
| Equity | Net realized gain (loss) from futures contracts and written options/Net change in unrealized gain (loss) on investments, on futures contracts and written options | (54,684 | ) | 74,282 | 158 | |||||||||
| Total | $ | (69,342 | ) | $ | 34,774 | 536 | ||||||||
| (a) | Average number of contracts is based on the average of month end balances for the period end October 31, 2016. |
51
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 4. INVESTMENTS IN DERIVATIVES (continued) |
| Multi-Asset Real Return Fund | ||||||||||||||
| Risk | Statements of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
| Interest rate | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | $ | (143,219 | ) | $ | 59,709 | 26 | |||||||
| Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | 3,375 | 434 | 43 | ||||||||||
| Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | 15,005 | (71,706 | ) | 13 | |||||||||
| Total | $ | (124,839 | ) | $ | (11,563 | ) | 82 | |||||||
| (a) | Average number of contracts is based on the average of month end balances for the period end October 31, 2016. |
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivatives counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives (including forward foreign currency exchange contracts and certain options and swaps), and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
Collateral and margin requirements differ between exchange traded derivatives and OTC derivatives. Margin requirements are established by the broker or clearing house for exchange-traded and centrally cleared derivatives (financial futures contracts, options and centrally cleared swaps) pursuant to governing agreements for those instrument types. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract-specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Additionally, a Fund may be required to post initial margin to the counterparty, the terms of which would be outlined in the confirmation of the OTC transaction.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivative contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. A Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that the Investment Adviser believes to be of good standing and by monitoring the financial stability of those counterparties.
Additionally, the netting of assets and liabilities and the offsetting of collateral pledged or received are based on contractual netting/set-off provisions in the ISDA Master Agreement or similar agreements. However, in the event of a default or insolvency of a counterparty, a court could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of setoff that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws.
52
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
| 4. INVESTMENTS IN DERIVATIVES (continued) |
The following tables set forth the Funds’ net exposure for derivative instruments that are subject to enforceable master netting arrangements or similar agreements as of October 31, 2016:
| Absolute Return Multi-Asset Fund | ||||||||||||||||||||||||||||||||||||||||||||
| Derivative Assets(1) | Derivative Liabilities(1) | |||||||||||||||||||||||||||||||||||||||||||
| Counterparty | Options Purchased | Swaps | Forward Currency Contracts | Total | Swaps | Forward Currency Contracts | Options Written | Total | Net Derivative Asset (Liabilities) | Collateral (Received) Pledged(1) | Net Amount(2) | |||||||||||||||||||||||||||||||||
Bank of America Securities LLC | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (49,868 | ) | $ | (49,868 | ) | $ | (49,868 | ) | $ | — | $ | (49,868 | ) | ||||||||||||||||||
Morgan Stanley & Co. International PLC | — | 18,758 | 120,146 | 138,904 | (6,904 | ) | (59,176 | ) | — | (66,080 | ) | 72,824 | — | 72,824 | ||||||||||||||||||||||||||||||
UBS AG (London) | 21,799 | — | 27,536 | 49,335 | — | (28,913 | ) | (22,279 | ) | (51,192 | ) | (1,857 | ) | — | (1,857 | ) | ||||||||||||||||||||||||||||
Total | $ | 21,799 | $ | 18,758 | $ | 147,682 | $ | 188,239 | $ | (6,904 | ) | $ | (88,089 | ) | $ | (72,147 | ) | $ | (167,140 | ) | $ | 21,099 | $ | — | $ | 21,099 | ||||||||||||||||||
| (1) | Gross amounts available for offset but not netted in the Statement of Assets and Liabilities. |
| (2) | Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. Net amount excludes any over-collateralized amounts. |
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
For the fiscal year ended October 31, 2016, contractual and effective net management fees with GSAM were at the following rates:
| Contractual Management Fee Rate | Effective Net Management Fee Rate*^ | |||||||||||||||||||||||||||||
| Fund | First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Fee Rate | ||||||||||||||||||||||||
Absolute Return Multi-Asset | 0.85 | % | 0.85 | % | 0.77 | % | 0.73 | % | 0.71 | % | 0.85 | % | 0.34 | %(a) | ||||||||||||||||
Multi-Asset Real Return | 0.70 | 0.63 | 0.60 | 0.59 | 0.57 | 0.70 | 0.47 | |||||||||||||||||||||||
| * | GSAM agreed to waive a portion of its management fee rates, set forth in the Funds’ most recent prospectuses. These waivers will be effective through at least February 26, 2017 for the Funds and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. Prior to February 26, 2016, the effective net management rate for the Multi-Asset Real Return Fund was 0.70%. |
| ^ | Effective Net Management Fee Rate includes the impact of management fee waivers of affiliated underlying funds, if any. |
| (a) | Reflects combined management fees paid to GSAM under the Agreement and the Subsidiary Agreement as defined below after waivers. |
The Absolute Return Multi-Asset Fund invests in the Institutional Shares of the Goldman Sachs Commodity Strategy, Goldman Sachs Fixed Income Macro Strategies, Goldman Sachs High Yield, Goldman Sachs Inflation Protected Securities, Goldman Sachs International Real Estate Securities, Goldman Sachs Long Short, Goldman Sachs Long Short Credit Strategies, Goldman Sachs Real Estate Securities and the Goldman Sachs Financial Square Government Funds, and the Multi-Asset Real Return Fund invests in the Institutional Shares of the Goldman Sachs Commodity Strategy, Goldman Sachs Inflation Protected Securities, Goldman Sachs Strategic Income, Goldman Sachs Local Emerging Markets Debt and Goldman Sachs Financial Square Government Funds, which are affiliated Underlying Funds. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to any of the affiliated Underlying Funds in which the Funds invest. For the fiscal year ended October 31, 2016, GSAM waived $124,537 and $17,244 of the Absolute Return Multi-Asset and Multi-Asset Real Return Funds’ management fees, respectively.
53
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
GSAM also provides management services to the Subsidiary pursuant to a Subsidiary Management Agreement (the “Subsidiary Agreement”) and is entitled to a management fee accrued daily and paid monthly, equal to an annual percentage rate of 0.42% of the Subsidiary’s average daily net assets. In consideration of the Subsidiary’s management fee, and for as long as the Subsidiary Agreement remains in effect, GSAM has contractually agreed to waive irrevocably a portion of the Absolute Return Multi-Asset Fund’s management fee in an amount equal to the management fee accrued and paid to GSAM by the Subsidiary under the Subsidiary Agreement. For the fiscal year ended October 31, 2016 GSAM waived $21,397 of the Absolute Return Multi-Asset Fund’s management fee. This waiver represents an inter-fund transaction and, accordingly, has been eliminated in consolidation.
B. Distribution and Service Plans — The Trust, on behalf of each Fund, has adopted Distribution and Service Plans (the “Plans”). Under the Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, at the following annual rates calculated on a Fund’s average daily net assets of each respective share class:
| Distribution and Service Plan Rates | ||||||||||||
| Class A* | Class C | Class R* | ||||||||||
Distribution Plan | 0.25 | % | 0.75 | % | 0.50 | % | ||||||
Service Plan | — | 0.25 | — | |||||||||
| * | With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution Plan to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority. |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the fiscal year ended October 31, 2016, Goldman Sachs advised that it retained the following amounts:
| Front End Sales Charge | Contingent Deferred Sales Charge | |||||||||
| Fund | Class A | Class C | ||||||||
Absolute Return Multi-Asset | $ | — | $ | 11 | ||||||
D. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.19% of the average daily net assets of Class A, Class C, Class IR and Class R Shares; 0.04% of the average daily net assets of Institutional Shares; and 0.02% of the average daily net assets of Class R6 Shares.
E. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, shareholder meeting, litigation, indemnification and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the Absolute Return Multi-Asset and the Multi-Asset Real Return are 0.104% and 0.004%, respectively. Prior to February 26, 2016, the Other Expenses limitation for the Multi-Asset Real Return Fund was 0.064%. These Other Expense limitations will remain in place through at least February 26, 2017, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
54
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended October 31, 2016, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| Fund | Management fees | Other Expense Reimbursements | Total Expense Reimbursements | |||||||||||
Absolute Return Multi-Asset | $ | 124,537 | $ | 568,325 | $ | 692,862 | ||||||||
Multi-Asset Real Return | 23,672 | 376,513 | 400,185 | |||||||||||
F. Line of Credit Facility — As of October 31, 2016, the Funds participated in a $1,100,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates (“Other Borrowers”). This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the fiscal year ended October 31, 2016, the Funds did not have any borrowings under the facility.
G. Other Transactions with Affiliates — For the fiscal year ended October 31, 2016, Goldman Sachs earned $83 in brokerage commissions from portfolio transactions on behalf of the Multi-Asset Real Return Fund.
As of October 31, 2016, The Goldman Sachs Group, Inc. was the beneficial owner of 5% or more of outstanding shares of the following funds:
| Fund | Class A | Class C | Institutional | Class IR | Class R | Class R6 | ||||||||||||||||||||
Absolute Return Multi-Asset | 30 | % | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | ||||||||||||||
Multi-Asset Real Return | 19 | 100 | 95 | 100 | 100 | 100 | ||||||||||||||||||||
The table below shows the transactions in and earnings from investments in the Underlying Fund for the fiscal year ended October 31, 2016:
| Absolute Return Multi-Asset Fund | ||||||||||||||||||||||||||||||||
| Underlying Funds | Market Value 10/31/15 | Purchase at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Market Value 10/31/16 | Dividend Income | Capital Gains Distributions | ||||||||||||||||||||||||
Goldman Sachs Commodity Strategy Fund – Institutional Shares | $ | 553,846 | $ | 1,419 | $ | (429,269 | ) | $ | (134,650 | ) | $ | $8,654 | $ | — | $ | 1,419 | $ | — | ||||||||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares | 10,987,309 | 9,608,953 | (11,490,677 | ) | — | — | 9,105,585 | 23,886 | — | |||||||||||||||||||||||
Goldman Sachs Fixed Income Macro Strategies Fund – Institutional Shares | 2,510,751 | 146,667 | (88,053 | ) | (4,792 | ) | (127,062 | ) | 2,437,511 | 146,667 | — | |||||||||||||||||||||
Goldman Sachs High Yield Fund – Institutional Shares | 2,171,767 | 101,607 | (1,100,000 | ) | (45,833 | ) | 25,625 | 1,153,166 | 101,606 | — | ||||||||||||||||||||||
Goldman Sachs Inflation Protected Securities Fund – Institutional Shares | — | 1,476,406 | (90,000 | ) | 5,134 | 83,593 | 1,475,133 | 16,406 | — | |||||||||||||||||||||||
55
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
| Absolute Return Multi-Asset Fund (continued) | ||||||||||||||||||||||||||||||||
| Underlying Funds | Market Value 10/31/15 | Purchase at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Market Value 10/31/16 | Dividend Income | Capital Gains Distributions | ||||||||||||||||||||||||
Goldman Sachs International Real Estate Securities Fund – Institutional Shares | $ | 932,740 | $ | 24,850 | $ | (60,802 | ) | $ | 357 | $ | (56,305 | ) | $ | 840,840 | $ | 24,850 | $ | — | ||||||||||||||
Goldman Sachs Long Short Credit Strategies Fund – Institutional Shares | — | 490,213 | — | — | 1,009 | 491,222 | 5,196 | — | ||||||||||||||||||||||||
Goldman Sachs Long Short Fund – Institutional Shares | 2,392,439 | 220,829 | (1,154,894 | ) | (276,837 | ) | 70,733 | 1,252,270 | 6,621 | 4,209 | ||||||||||||||||||||||
Goldman Sachs Real Estate Securities Fund – Institutional Shares | 958,819 | 469,093 | (290,000 | ) | 29,411 | (44,947 | ) | 1,122,376 | 17,314 | 22,150 | ||||||||||||||||||||||
| $ | 20,507,671 | $ | 12,540,037 | $ | (14,703,695 | ) | $ | (427,210 | ) | $ | (38,700 | ) | $ | 17,878,103 | $ | 343,965 | $ | 26,359 | ||||||||||||||
| Multi-Asset Real Return Fund | ||||||||||||||||||||||||||||
| Underlying Funds | Market Value 10/31/15 | Purchase at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Market Value | Dividend Income | |||||||||||||||||||||
Goldman Sachs Commodity Strategy Fund – Institutional Shares | $ | 851,672 | $ | 26,898 | $ | (630,120 | ) | $ | (639,580 | ) | $ | 509,739 | $ | 118,609 | $ | 4,225 | ||||||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares | — | 1,436,240 | (195,484 | ) | — | — | 1,240,756 | 523 | ||||||||||||||||||||
Goldman Sachs Inflation Protected Securities Fund – Institutional Shares | 3,366,315 | 559,528 | (325,000 | ) | (5,319 | ) | 179,748 | 3,775,272 | 40,947 | |||||||||||||||||||
Goldman Sachs Local Emerging Markets Debt Fund – Institutional Shares | — | 269,402 | (2 | ) | — | (2,190 | ) | 267,210 | 4,402 | |||||||||||||||||||
Goldman Sachs Strategic Income Fund – Institutional Shares | 1,243,219 | 385,147 | (635,000 | ) | (57,215 | ) | 25,458 | 961,609 | 40,174 | |||||||||||||||||||
| $ | 5,461,206 | $ | 2,677,215 | $ | (1,785,606 | ) | $ | (702,114 | ) | $ | 712,755 | $ | 6,363,456 | $ | 90,271 | |||||||||||||
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended October 31, 2016, were as follows:
| Fund | Purchases | Sales | ||||||||
Absolute Return Multi-Asset | $ | 5,688,584 | $ | 4,747,724 | ||||||
Multi-Asset Real Return | 2,832,443 | 3,053,588 | ||||||||
56
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
| 7. TAX INFORMATION |
The tax character of distributions paid during the fiscal year ended October 31, 2016 was as follows:
| Absolute Return Multi-Asset Fund | Multi-Asset Real Return Fund | |||||||
Distribution paid from: | ||||||||
Ordinary income | $ | 144,310 | $ | 173,306 | ||||
Net long-term capital gains | — | — | ||||||
Total taxable distributions | $ | 144,310 | $ | 173,306 | ||||
Tax return of capital | $ | — | $ | 8,632 | ||||
The tax character of distributions paid during the fiscal year ended October 31, 2015 was as follows:
| Absolute Return Multi-Asset Fund | Multi-Asset Real Return Fund | |||||||
Distribution paid from: | ||||||||
Ordinary income | $ | — | $ | 286,875 | ||||
Net long-term capital gains | — | 106,989 | ||||||
Total taxable distributions | $ | — | $ | 393,864 | ||||
As of October 31, 2016, the components of accumulated earnings (losses) on a tax basis were as follows:
| Absolute Return Multi-Asset Fund | Multi-Asset Real Return Fund | |||||||
Undistributed ordinary income — net | $ | 288,077 | $ | — | ||||
Capital loss carryforwards: | ||||||||
Perpetual Short-Term | $ | (550,205 | ) | $ | (301,707 | ) | ||
Perpetual Long-Term | (94,651 | ) | (765,394 | ) | ||||
Total capital loss carryforwards | $ | (644,856 | ) | $ | (1,067,101 | ) | ||
Timing differences (Straddle Loss Deferral) | $ | (10,369 | ) | $ | — | |||
Unrealized gains (losses) — net | (101,929 | ) | 359,363 | |||||
Total accumulated earnings (losses) net | $ | (469,077 | ) | $ | (707,738 | ) | ||
57
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 7. TAX INFORMATION (continued) |
As of October 31, 2016, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Absolute Return Fund | Multi-Asset Real Return Fund | |||||||
Tax Cost | $ | 23,078,720 | $ | 10,188,644 | ||||
Gross unrealized gain | 314,449 | 657,242 | ||||||
Gross unrealized loss | (58,421 | ) | (301,431 | ) | ||||
Net unrealized gains (losses) on securities | $ | 256,028 | $ | 355,811 | ||||
Net unrealized gain (loss) on other investments | (357,957 | ) | 3,552 | |||||
Net unrealized gains (losses) | $ | (101,929 | ) | $ | 359,363 | |||
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains/(losses) on regulated futures and options contracts, net mark to market gains/(losses) on foreign currency contracts, and differences in the tax treatment of underlying fund investments, partnership investments, and swap transactions.
In order to present certain components of the Funds’ capital accounts on a tax-basis, certain reclassifications have been recorded to the Funds’ accounts. These reclassifications have no impact on the net asset value of the Funds’ and result primarily from certain non-deductible expenses and differences in the tax treatment of swap transactions, foreign currency transactions, partnership investments, and underlying fund investments.
| Paid-in Capital | Accumulated Net Realized Gain (Loss) | Undistributed Net Investment Income (Loss) | ||||||||||
Absolute Return Multi-Asset | $ | (46,229 | ) | $ | (187,989 | ) | $ | 234,218 | ||||
Multi-Asset Real Return | $ | — | $ | (36,174 | ) | $ | 36,174 | |||||
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
| 8. OTHER RISKS |
The Funds’ risks include, but are not limited to, the following:
Derivatives Risk — Loss may result from the Funds investments in derivative instruments. These instruments may be illiquid, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Funds. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. Losses from investments in derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the United States. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Fund invests. Loss may also result from the imposition of exchange controls, confiscations and other government restrictions by the United States or other governments, or from problems in registration, settlement or custody. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or
58
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
| 8. OTHER RISKS (continued) |
other instruments through which the Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by a Fund will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with increasing rates are heightened given that interest rates are near historic lows, but may be expected to increase in the future with unpredictable effects on the markets and a Fund’s investments.
Investments in Other Investment Companies — As a shareholder of another investment company, including an exchange-traded fund (“ETF”), a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.
Leverage Risk — Leverage creates exposure to potential gains and losses in excess of the initial amount invested. Borrowing and the use of derivatives may result in leverage and may make a Fund more volatile. When a Fund uses leverage, the sum of that Fund’s investment exposure may significantly exceed the amount of assets invested in the Fund, although these exposures may vary over time. Relatively small market movements may result in large changes in the value of a leveraged investment. A Fund will identify liquid assets on its books or otherwise cover transactions that may give rise to such risk, to the extent required by applicable law. The use of leverage may cause a Fund to liquidate portfolio positions to satisfy its obligations or to meet segregation requirements when it may not be advantageous to do so. The use of leverage by a Fund can substantially increase the adverse impact to which the Fund’s investment portfolio may be subject.
Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions.
Market and Credit Risks — In the normal course of business, a Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Master Limited Partnership Risk — Investments in securities of MLPs involve risks that differ from investments in common stock, including risks related to limited control and limited rights to vote on matters affecting the MLP, risks related to potential
59
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 8. OTHER RISKS (continued) |
conflicts of interest between the MLP and the MLP’s general partner, cash flow risks, dilution risks, limited liquidity and risks related to the general partner’s right to require unit-holders to sell their common units at an undesirable time or price.
Short Position Risk — A Fund may enter into a short position through a futures contract, an option or swap agreement or through short sales of any instrument that a Fund may purchase for investment. Taking short positions involves leverage of a Fund’s assets and presents various risks. If the value of the underlying instrument or market in which a Fund has taken a short position increases, then the Fund will incur a loss equal to the increase in value from the time that the short position was entered into plus any related interest payments or other fees. Taking short positions involves the risk that losses may be disproportionate, may exceed the amount invested, and may be unlimited.
Tax Risk — The Absolute Return Multi-Asset Fund will seek to gain exposure to the commodity markets primarily through investments in the Subsidiary and/or commodity index-linked structured notes, as applicable. Historically, the Internal Revenue Service (“IRS”) has issued private letter rulings (“PLRs”) in which the IRS specifically concluded that income and gains from investments in commodity index-linked structured notes or a wholly-owned foreign subsidiary that invests in commodity-linked instruments are “qualifying income” for purposes of compliance with Subchapter M of the Code. However, the Absolute Return Multi-Asset Fund has not received a PLR, and is not able to rely on PLRs issued to other taxpayers. Additionally, the IRS has suspended the granting of such PLR, pending review of its position on this matter. The IRS also recently issued proposed regulations that, if finalized, would generally treat the Absolute Return Multi Asset Fund’s income inclusion with respect to a subsidiary as qualifying income only if there is a distribution out of the earnings and profits of a subsidiary that are attributable to such income inclusion. The proposed regulations, if adopted, would apply to taxable years beginning on or after 90 days after the regulations are published as final.
The IRS also recently issued a revenue procedure, which states that the IRS will not in the future issue PLRs that would require a determination of whether an asset (such as a commodity index-linked note) is a “security” under the Investment Company Act of 1940. The Absolute Return Multi-Asset Fund has obtained an opinion of counsel that the Absolute Return Multi-Asset Fund’s income from such investments should constitute “qualifying income.” However, no assurances can be provided that the IRS would not be able to successfully assert that the Absolute Return Multi-Asset Fund’s income from such investments was not “qualifying income,” in which case the Absolute Return Multi-Asset Fund would fail to qualify as a regulated investment company (“RIC”) under Subchapter M of the Code if over 10% its gross income was derived from these investments. If the Absolute Return Multi-Asset Fund failed to qualify as a RIC, it would be subject to federal and state income tax on all of its taxable income at regular corporate tax rates. This would significantly adversely affect the returns to, and could cause substantial losses for, Fund shareholders.
| 9. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
| 10. SUBSEQUENT EVENTS |
At a meeting held on October 20, 2016, the Board of Trustees approved a proposal to liquidate the Multi-Asset Real Return Fund pursuant to a Board-approved Plan of Liquidation. It is expected that the Fund will be liquidated in December 2016.
GSAM has concluded that other than the above, there is no impact requiring adjustment or disclosure in the financial statements.
60
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
| 11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| Absolute Return Multi-Asset Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended October 31, 2016 | For the Period Ended October 31, 2015(a) | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 6,643 | $ | 64,764 | 2,501 | $ | 25,015 | ||||||||||
Reinvestment of distributions | 11 | 112 | — | — | ||||||||||||
Shares redeemed | (675 | ) | (6,560 | ) | (1 | ) | (10 | ) | ||||||||
| 5,979 | 58,316 | 2,500 | 25,005 | |||||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | (107 | ) | (1,066 | ) | 2,609 | 26,081 | ||||||||||
Reinvestment of distributions | 5 | 50 | — | — | ||||||||||||
Shares redeemed | — | — | (2 | ) | (15 | ) | ||||||||||
| (102 | ) | (1,015 | ) | 2,607 | 26,066 | |||||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 10,076 | 98,682 | 2,487,501 | 24,875,015 | ||||||||||||
Reinvestment of distributions | 14,716 | 143,777 | — | — | ||||||||||||
Shares redeemed | (2,144 | ) | (20,731 | ) | (1 | ) | (15 | ) | ||||||||
| 22,648 | 221,727 | 2,487,500 | 24,875,000 | |||||||||||||
| Class IR Shares | ||||||||||||||||
Shares sold | — | — | 2,502 | 25,015 | ||||||||||||
Reinvestment of distributions | 14 | 133 | — | — | ||||||||||||
Shares redeemed | — | — | (2 | ) | (15 | ) | ||||||||||
| 14 | 133 | 2,500 | 25,000 | |||||||||||||
| Class R Shares | ||||||||||||||||
Shares sold | — | — | 2,501 | 25,015 | ||||||||||||
Reinvestment of distributions | 9 | 92 | — | — | ||||||||||||
Shares redeemed | — | — | (1 | ) | (15 | ) | ||||||||||
| 9 | 92 | 2,500 | 25,000 | |||||||||||||
| Class R6 Shares | ||||||||||||||||
Shares sold | — | — | 2,502 | 25,015 | ||||||||||||
Reinvestment of distributions | 15 | 146 | — | — | ||||||||||||
Shares redeemed | — | — | (2 | ) | (15 | ) | ||||||||||
| 15 | 146 | 2,500 | 25,000 | |||||||||||||
NET INCREASE | 28,563 | $ | 279,399 | 2,500,107 | $ | 25,001,071 | ||||||||||
| (a) | Commenced operations September 2, 2015. |
61
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
October 31, 2016
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| Multi-Asset Real Return Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 37 | $ | 353 | 3,621 | $ | 37,152 | ||||||||||
Reinvestment of distributions | 61 | 572 | 191 | 1,933 | ||||||||||||
Shares redeemed | (5 | ) | (67 | ) | (2,849 | ) | (28,448 | ) | ||||||||
| 93 | 858 | 963 | 10,637 | |||||||||||||
| Class C Shares | ||||||||||||||||
Reinvestment of distributions | 5 | 40 | 24 | 253 | ||||||||||||
| 5 | 40 | 24 | 253 | |||||||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 4,734 | 45,019 | 3,328 | 33,060 | ||||||||||||
Reinvestment of distributions | 19,384 | 180,602 | 38,744 | 382,409 | ||||||||||||
Shares redeemed | (6,373 | ) | (61,511 | ) | (1,218 | ) | (12,243 | ) | ||||||||
| 17,745 | 164,110 | 40,854 | 403,226 | |||||||||||||
| Class IR Shares | ||||||||||||||||
Shares sold | — | — | 489 | 5,200 | ||||||||||||
Reinvestment of distributions | 45 | 414 | 106 | 1,069 | ||||||||||||
Shares redeemed | (511 | ) | (4,910 | ) | — | — | ||||||||||
| (466 | ) | (4,496 | ) | 595 | 6,269 | |||||||||||
| Class R Shares | ||||||||||||||||
Reinvestment of distributions | 19 | 184 | 76 | 761 | ||||||||||||
| 19 | 184 | 76 | 761 | |||||||||||||
| Class R6 Shares(a) | ||||||||||||||||
Shares sold | 1,141 | 10,000 | — | — | ||||||||||||
Reinvestment of distributions | 13 | 126 | — | — | ||||||||||||
| 1,154 | 10,126 | — | — | |||||||||||||
NET INCREASE | 18,550 | $ | 170,822 | 42,512 | $ | 421,146 | ||||||||||
| (a) | Commenced operations February 26, 2016. |
62
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Goldman Sachs Trust and Shareholders of the
Goldman Sachs Multi-Asset Class Funds:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Goldman Sachs Absolute Return Multi-Asset Fund and Goldman Sachs Multi-Asset Real Return Fund (collectively the “Funds”), funds of the Goldman Sachs Trust, at October 31, 2016, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (consolidated financial statements and financial highlights for Goldman Sachs Absolute Return Multi-Asset Fund) (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2016 by correspondence with the custodian, brokers, transfer agent of the underlying funds and the application of alternative auditing procedures where securities purchased confirmations had not been received, provide a reasonable basis for our opinion.
As discussed in Note 10 to the financial statements, the Board of Trustees of Goldman Sachs Trust approved the liquidation of the Goldman Sachs Multi-Asset Real Return Fund effective on December 22, 2016.
PricewaterhouseCoopers LLP
Boston, Massachusetts
December 23, 2016
63
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
| Fund Expenses — Six Month Period Ended October 31, 2016 (Unaudited) |
As a shareholder of Class A, Class C, Institutional, Class IR, Class R and Class R6 Shares of a Fund, you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares), contingent deferred sales charges on redemptions (with respect to Class C Shares), and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees (with respect to Class A, Class C and Class R Shares); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class C, Institutional, Class IR, Class R or Class R6 Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from May 1, 2016 through October 31, 2016, which represents a period of 184 days in a 366-day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Absolute Return Multi-Asset Fund | Multi-Asset Real Return Fund | |||||||||||||||||||||||
| Share Class | Beginning Account Value 5/1/16 | Ending Account Value 10/31/16 | Expenses Paid for the 6 months ended 10/31/16* | Beginning Account Value 5/1/16 | Ending Account Value 10/31/16 | Expenses Paid for the 6 months ended 10/31/16* | ||||||||||||||||||
| Class A | ||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,006.20 | $ | 2.82 | $ | 1,000.00 | $ | 1,012.10 | $ | 4.45 | ||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.32 | + | 2.85 | 1,000.00 | 1,020.71 | + | 4.47 | ||||||||||||||||
| Class C | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,003.10 | 6.60 | 1,000.00 | 1,007.30 | 8.27 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,018.55 | + | 6.65 | 1,000.00 | 1,016.89 | + | 8.31 | ||||||||||||||||
| Institutional | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,008.20 | 0.81 | 1,000.00 | 1,013.00 | 2.43 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,024.33 | + | 0.81 | 1,000.00 | 1,022.72 | + | 2.44 | ||||||||||||||||
| Class IR | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,007.20 | 1.61 | 1,000.00 | 1,013.30 | 3.14 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.53 | + | 1.63 | 1,000.00 | 1,022.02 | + | 3.15 | ||||||||||||||||
| Class R | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,004.10 | 4.08 | 1,000.00 | 1,009.80 | 5.71 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,021.06 | + | 4.12 | 1,000.00 | 1,019.46 | + | 5.74 | ||||||||||||||||
| Class R6 | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,008.20 | 0.66 | 1,000.00 | 1,014.20 | 2.28 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,024.48 | + | 0.66 | 1,000.00 | 1,022.87 | + | 2.29 | ||||||||||||||||
| * | Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended October 31, 2016. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
| Fund | Class A | Class C | Institutional | Class IR | Class R | Class R6 | ||||||||||||||||||
Absolute Return Multi-Asset | 0.56 | % | 1.31 | % | 0.16 | % | 0.32 | % | 0.81 | % | 0.13 | % | ||||||||||||
Multi-Asset Real Return | 0.88 | 1.64 | 0.48 | 0.62 | 1.13 | 0.45 | ||||||||||||||||||
| + | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
64
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Absolute Return Multi-Asset Fund and the Goldman Sachs Multi-Asset Real Return Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds.
The Management Agreement was most recently approved for continuation until June 30, 2017 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 15-16, 2016 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to each Fund, such matters included:
| (a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
| (i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
| (ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
| (iii) | trends in employee headcount; |
| (iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
| (v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
| (b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”) and a benchmark performance index; and general investment outlooks in the markets in which the Fund invests; |
| (c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
| (d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
| (e) | fee and expense information for the Fund, including: |
| (i) | the relative management fee and expense level of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
| (ii) | the Multi-Asset Real Return Fund’s expense trends over time (the Absolute Return Multi-Asset Fund commenced operations on September 2, 2015); and |
| (iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
| (f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
| (g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
| (h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Multi-Asset Real Return Fund and the Trust as a whole to the Investment Adviser and its affiliates; |
| (i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
| (j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, portfolio trading, distribution and other services; |
65
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
| (k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
| (l) | information regarding commissions paid by the Fund and broker oversight, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
| (m) | portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
| (n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
| (o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity, and payment of distribution and service fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the regulatory and control environment in which the Funds and their service providers operate, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Funds. In this regard, they compared the investment performance of the Multi-Asset Real Return Fund to its peers using rankings compiled by the Outside Data Provider as of December 31, 2015, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2016. The information on the Multi-Asset Real Return Fund’s investment performance was provided for the one-year period ending on the applicable dates. The Trustees also reviewed the Multi-Asset Real Return Fund’s investment performance relative to its performance benchmark. As part of this review, they reviewed the investment performance of the Multi-Asset Real Return Fund in light of its investment objective and policies and market conditions.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.
66
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
The Trustees noted that the Multi-Asset Real Return Fund’s Institutional Shares had placed in the fourth quartile of the Fund’s peer group and had underperformed the Fund’s benchmark for the one-year period ended March 31, 2016. The Trustees noted that Absolute Return Multi-Asset Fund had launched on September 2, 2015 and did not yet have a meaningful performance history.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by each Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of each Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s transfer agency, custody, and distribution fees, other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. With respect to the Absolute Return Multi-Asset Fund, the Trustees noted that the Investment Adviser had agreed to waive a portion of its management fee in an amount equal to the entire management fee paid to the Investment Adviser as the investment adviser to the Fund’s wholly-owned subsidiary. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed the Investment Adviser’s revenues and pre-tax profit margins with respect to the Trust and the Multi-Asset Real Return Fund. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization had audited the expense allocation methodology and was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology and profitability analysis calculations. Profitability data for the Trust and the Multi-Asset Real Return Fund were provided for 2015 and 2014, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.
Economies of Scale
The Trustees considered the information that had been provided regarding the Investment Adviser’s profitability. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:
| Average Daily Net Assets | Absolute Return Multi-Asset Fund | Multi-Asset Real Return | ||||||
| First $1 billion | 0.85 | % | 0.70 | % | ||||
| Next $1 billion | 0.85 | 0.63 | ||||||
| Next $3 billion | 0.77 | 0.60 | ||||||
| Next $3 billion | 0.73 | 0.59 | ||||||
| Over $8 billion | 0.71 | 0.57 | ||||||
67
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertakings to waive a portion of its management fee (in the case of the Multi-Asset Real Return Fund) and to limit certain expenses of the Funds that exceed specified levels. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds as stated above, including: (a) transfer agency fees received by Goldman, Sachs & Co. (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Funds; (c) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (d) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (e) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (f) Goldman Sachs’ retention of certain fees as Fund Distributor; (g) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; and (h) the possibility that the working relationship between the Investment Adviser and the Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Funds and Their Shareholders
The Trustees also noted that the Funds receive certain potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors because of the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers because of the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Funds as a result of the size and reputation of the Goldman Sachs organization; (e) the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization; (g) the Funds’ access, through the Investment Adviser, to certain firmwide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (h) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Management Agreement should be approved and continued with respect to each Fund until June 30, 2017.
68
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Trustees and Officers (Unaudited)
Independent Trustees
Name, | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Ashok N. Bakhru Age: 74 | Chairman of the Board of Trustees | Since 1996 (Trustee since 1991) | Mr. Bakhru is retired. He was formerly Director, Apollo Investment Corporation (a business development company) (2008-2013); President, ABN Associates (a management and financial consulting firm) (1994-1996 and 1998-2012); Trustee, Scholarship America (1998-2005); Trustee, Institute for Higher Education Policy (2003-2008); Director, Private Equity Investors — III and IV (1998-2007), and Equity-Linked Investors II (April 2002-2007).
Chairman of the Board of Trustees — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | 142 | None | |||||
Kathryn A. Cassidy Age: 62 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Diana M. Daniels Age: 67 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Herbert J. Markley Age: 66 | Trustee | Since 2013 | Mr. Markley is retired. Formerly, he was Executive Vice President, Deere & Company (an agricultural and construction equipment manufacturer) (2007-2009); and President, Agricultural Division, Deere & Company (2001-2007). Previously, Mr. Markley served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Jessica Palmer Age: 67 | Trustee | Since 2007 | Ms. Palmer is retired. She is Director, Emerson Center for the Arts and Culture (2011-Present); and was formerly a Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
69
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Trustees and Officers (Unaudited) (continued)
Independent Trustees
Name, | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Roy W. Templin Age: 56 | Trustee | Since 2013 | Mr. Templin is retired. He recently served as Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); and was formerly Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Gregory G. Weaver Age: 65 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | Verizon Communications Inc. | |||||
70
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Trustees and Officers (Unaudited) (continued)
Interested Trustees*
Name, | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
James A. McNamara Age: 54 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993- April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | 140 | None | |||||
Alan A. Shuch Age: 66 | Trustee | Since 1990 | Advisory Director — GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994-May 1999).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
| * | These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
| 1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of October 31, 2016. |
| 2 | Each Trustee holds office for an indefinite term until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board of Trustees or shareholders, in accordance with the Trust’s Declaration of Trust; (c) December 31st of the year in which the Trustee turns 74 years of age, subject to waiver by a majority of the Trustees (in accordance with the current resolutions of the Board of Trustees, which may be changed by the Trustees without shareholder vote); or (d) the termination of the Trust. |
| 3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of October 31, 2016, Goldman Sachs Trust consisted of 92 portfolios (91 of which offered shares to the public); Goldman Sachs Variable Insurance Trust consisted of 14 portfolios; Goldman Sachs Trust II consisted of 17 portfolios (15 of which offered shares to the public); Goldman Sachs BDC, Inc., Goldman Sachs Private Middle Market Credit LLC, Goldman Sachs MLP Income Opportunities Fund, and Goldman Sachs MLP and Energy Renaissance Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 15 portfolios (eight of which offered shares to the public). Goldman Sachs Private Middle Market Credit LLC does not offer shares to the public. |
| 4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
71
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 54 | Trustee and President | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 39 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Middle Market Lending LLC; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
Scott M. McHugh 200 West Street New York, NY 10282 Age: 45 | Treasurer, Senior Vice President and Principal Financial Officer | Since 2009 (Principal Financial Officer since 2013) | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (February 2007-December 2015); Assistant Treasurer of certain mutual funds administered by DWS Scudder (2005-2007); and Director (2005-2007), Vice President (2000-2005), and Assistant Vice President (1998-2000), Deutsche Asset Management or its predecessor (1998-2007).
Treasurer, Senior Vice President and Principal Financial Officer — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
| 1 | Information is provided as of October 31, 2016. |
| 2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Trust — Multi-Asset Class Fund — Tax Information (Unaudited)
For the fiscal year ended October 31, 2016, 4.18% and 27.66% of the dividends paid from net investment company taxable income by the Absolute Return Multi-Asset and Multi-Asset Real Return Funds, respectively, qualify for the dividends received deduction available to corporations.
For the fiscal year ended October 31, 2016, 21.91% and 100% of the dividends paid from net investment company taxable income by the Absolute Return Multi-Asset and Multi-Asset Real Return Funds, respectively, qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
72
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.15 trillion in assets under supervision as of September 30, 2016, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman, Sachs & Co. subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| n | Financial Square Treasury Solutions Fund1 |
| n | Financial Square Government Fund1 |
| n | Financial Square Money Market Fund2 |
| n | Financial Square Prime Obligations Fund2 |
| n | Financial Square Treasury Instruments Fund1 |
| n | Financial Square Treasury Obligations Fund1 |
| n | Financial Square Federal Instruments Fund1 |
| n | Financial Square Tax-Exempt Money Market Fund2 |
Investor FundsSM
| n | Investor Money Market Fund3 |
| n | Investor Tax-Exempt Money Market Fund3,4 |
Fixed Income
Short Duration and Government
| n | Enhanced Income Fund |
| n | High Quality Floating Rate Fund |
| n | Short-Term Conservative Income Fund5 |
| n | Short Duration Government Fund |
| n | Short Duration Income Fund |
| n | Government Income Fund |
| n | Inflation Protected Securities Fund |
Multi-Sector
| n | Bond Fund |
| n | Core Fixed Income Fund |
| n | Global Income Fund |
| n | Strategic Income Fund |
Municipal and Tax-Free
| n | High Yield Municipal Fund |
| n | Dynamic Municipal Income Fund |
| n | Short Duration Tax-Free Fund |
Single Sector
| n | Investment Grade Credit Fund |
| n | U.S. Mortgages Fund |
| n | High Yield Fund |
| n | High Yield Floating Rate Fund |
| n | Emerging Markets Debt Fund |
| n | Local Emerging Markets Debt Fund |
| n | Dynamic Emerging Markets Debt Fund |
Fixed Income Alternatives
| n | Long Short Credit Strategies Fund |
| n | Fixed Income Macro Strategies Fund |
Fundamental Equity
| n | Growth and Income Fund |
| n | Small Cap Value Fund |
| n | Small/Mid Cap Value Fund |
| n | Mid Cap Value Fund |
| n | Large Cap Value Fund |
| n | Focused Value Fund |
| n | Capital Growth Fund |
| n | Strategic Growth Fund |
| n | Focused Growth Fund |
| n | Small/Mid Cap Growth Fund |
| n | Flexible Cap Growth Fund |
| n | Concentrated Growth Fund |
| n | Technology Opportunities Fund |
| n | Growth Opportunities Fund |
| n | Rising Dividend Growth Fund |
| n | Dynamic U.S. Equity Fund |
| n | Income Builder Fund |
Tax-Advantaged Equity
| n | U.S. Tax-Managed Equity Fund |
| n | International Tax-Managed Equity Fund |
| n | U.S. Equity Dividend and Premium Fund |
| n | International Equity Dividend and Premium Fund |
Equity Insights
| n | Small Cap Equity Insights Fund |
| n | U.S. Equity Insights Fund |
| n | Small Cap Growth Insights Fund |
| n | Large Cap Growth Insights Fund |
| n | Large Cap Value Insights Fund |
| n | Small Cap Value Insights Fund |
| n | International Small Cap Insights Fund6 |
| n | International Equity Insights Fund |
| n | Emerging Markets Equity Insights Fund |
Fundamental Equity International
| n | Strategic International Equity Fund |
| n | Focused International Equity Fund |
| n | Asia Equity Fund |
| n | Emerging Markets Equity Fund |
| n | N-11 Equity Fund |
Select Satellite
| n | Real Estate Securities Fund |
| n | International Real Estate Securities Fund |
| n | Commodity Strategy Fund |
| n | Global Real Estate Securities Fund |
| n | Dynamic Commodity Strategy Fund |
| n | Dynamic Allocation Fund |
| n | Absolute Return Tracker Fund |
| n | Long Short Fund |
| n | Managed Futures Strategy Fund |
| n | MLP Energy Infrastructure Fund |
| n | Multi-Manager Alternatives Fund |
| n | Multi-Asset Real Return Fund |
| n | Absolute Return Multi-Asset Fund |
| n | Global Infrastructure Fund |
Total Portfolio Solutions
| n | Global Managed Beta Fund |
| n | Multi-Manager Non-Core Fixed Income Fund |
| n | Multi-Manager U.S. Dynamic Equity Fund |
| n | Multi-Manager Global Equity Fund |
| n | Multi-Manager International Equity Fund |
| n | Tactical Tilt Overlay Fund7 |
| n | Balanced Strategy Portfolio |
| n | Multi-Manager U.S. Small Cap Equity Fund |
| n | Multi-Manager Real Assets Strategy Fund |
| n | Growth and Income Strategy Portfolio |
| n | Growth Strategy Portfolio |
| n | Equity Growth Strategy Portfolio |
| n | Satellite Strategies Portfolio |
| n | Enhanced Dividend Global Equity Portfolio |
| n | Tax-Advantaged Global Equity Portfolio |
| n | Strategic Factor Allocation Fund |
| n | Target Date 2020 Portfolio |
| n | Target Date 2025 Portfolio |
| n | Target Date 2030 Portfolio |
| n | Target Date 2035 Portfolio |
| n | Target Date 2040 Portfolio |
| n | Target Date 2045 Portfolio |
| n | Target Date 2050 Portfolio |
| n | Target Date 2055 Portfolio |
| n | GQG Partners International Opportunities Fund |
| 1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | Effective on March 31, 2016, the Goldman Sachs Financial Square Tax-Free Money Market Fund was renamed the Goldman Sachs Investor Tax-Exempt Money Market Fund. |
| 5 | Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund. |
| 6 | Effective at the close of business on February 5, 2016, the Goldman Sachs International Small Cap Fund was reorganized with and into the Goldman Sachs International Small Cap Insights Fund. |
| 7 | Effective on June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman, Sachs & Co.
| *This | list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
TRUSTEES Ashok N. Bakhru, Chairman Kathryn A. Cassidy Diana M. Daniels Herbert J. Markley James A. McNamara Jessica Palmer Alan A. Shuch Roy W. Templin Gregory G. Weaver | OFFICERS James A. McNamara, President Scott M. McHugh, Principal Financial Officer, Caroline L. Kraus, Secretary | |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser | |
Visit our Web site at www.gsamfunds.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (I) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (II) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s web site at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
Holdings and allocations shown are as of October 31, 2016 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2016 Goldman Sachs. All rights reserved. 75019-TMPL-12/2016 MACAR-16 / 0.2K
Goldman Sachs Funds
| Annual Report | October 31, 2016 | |||
Tactical Tilt Overlay Fund* | ||||
* Effective on June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund.
Goldman Sachs Tactical Tilt Overlay Fund
TABLE OF CONTENTS |
| |||
Portfolio Management Discussions and Performance Summary | 1 | |||
Schedule of Investments | 9 | |||
Financial Statements | 15 | |||
Financial Highlights | 18 | |||
Notes to the Financial Statements | 20 | |||
Report of Independent Registered Public Accounting Firm | 34 | |||
Other Information | 35 | |||
| NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
PORTFOLIO RESULTS
Goldman Sachs Tactical Tilt Overlay Fund
Investment Objective and Principal Strategy
The Portfolio seeks long-term total return.
Portfolio Management Discussion and Analysis
Effective June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund (the “Portfolio”). Below, the Goldman Sachs Global Portfolio Solutions Team discusses the Portfolio’s performance and positioning for the 12-month period ended October 31, 2016 (the “Reporting Period”).
| Q | How did the Portfolio perform during the Reporting Period? |
| A | During the Reporting Period, the Portfolio’s Institutional Shares generated an average annual total return, without sales charges, of -0.96%. This return compares to the 0.54% average annual total return of the Portfolio’s benchmark, the Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Maturity Index (the “Index”), during the same time period. |
| References to the Portfolio’s benchmarks and to other indices mentioned herein are for informational purposes only, and unless otherwise noted, are not an indication of how the Portfolio is managed. The use of the Index as the Portfolio’s benchmark does not imply the Portfolio is being managed like cash and does not imply low risk or low volatility. |
| Q | What economic and market factors most influenced the Portfolio during the Reporting Period? |
| A | Central bank monetary policy across countries and global regions, as well as geopolitics, dominated financial markets during the Reporting Period. |
| Accommodative monetary policies were reinforced in many developed markets, notably Europe and Japan. In December 2015, the European Central Bank (“ECB”) lowered interest rates into negative territory and expanded its stimulus program, building further upon the scope of eligible asset purchases during January 2016. The Bank of Japan (“BoJ”) introduced a negative interest rate at its January 2016 policy meeting and reaffirmed its commitment to achieving a 2% inflation target. At the end of July 2016, the BoJ announced an increase in its asset purchase program. Later in the Reporting Period, the BoJ chose to leave monetary policy unchanged, surprising markets. In the United States the Federal Reserve (the “Fed”) announced its first interest rate hike since 2006, raising the targeted federal funds rate to a range between 0.25% and 0.50% at the end of 2015. The Fed subsequently adopted a more dovish tone due to global economic growth concerns and market volatility. (A dovish tone tends to indicate lower interest rates; opposite of hawkish.) Despite an increase in market volatility near the end of August 2016 as investors assessed the likelihood of a rate hike in September 2016, the Fed maintained its low interest rate policy. This caused the U.S. dollar to weaken against many developed market currencies. Toward the end of the Reporting Period, improving U.S. economic conditions coupled with hawkish commentary from the Fed increased investor expectations for an interest rate increase in December 2016. |
| Regarding geopolitics, the U.K.’s surprise “leave” vote in its referendum on membership in the European Union, popularly known as Brexit, shocked the financial markets in June 2016 and caused the British pound to plunge to a 30-year low against the U.S. dollar. After the vote, although the spillover effects of U.K. economic weakness on the broader Eurozone were limited in the immediate term, the Bank of England (“BoE”) increased its asset purchase program near the end of July 2016. In September 2016, the BoE disappointed investors when it did not further increase the scope of the program. Meanwhile, uncertainty surrounding the November 2016 U.S. presidential election and the December 2016 Italian referendum on constitutional reform raised market concerns. |
In this environment, and despite sharp losses suffered at the beginning of 2016, global equity markets overall recorded a positive return during the Reporting Period, driven in part by the solid performance of U.S. large-cap stocks. Meanwhile, fixed income securities outperformed equities, as yields remained low globally and investors sought perceived |
1
PORTFOLIO RESULTS
safe-haven assets amid global economic growth concerns and geopolitical uncertainty. The U.S. dollar strengthened against most developed markets currencies, including the Japanese yen and the euro. The price of West Texas Intermediate (“WTI”) crude oil declined at the beginning of the Reporting Period, hitting a 12-year low in mid-January 2016 before increasing through the end of the Reporting Period. In September 2016, members of the Organization of Petroleum Exporting Countries announced that they would seek to limit output for the first time in eight years. |
| Q | What key factors were responsible for the Portfolio’s performance during the Reporting Period? |
| A | The Portfolio seeks to achieve its investment objective through the implementation of investment ideas that are generally derived from short-term or medium-term market views on a variety of asset classes and instruments. |
| Within fixed income during the Reporting Period, the Portfolio benefited from its investments in energy-related high yield corporate bonds. After declining early in the Reporting Period, these holdings rebounded, advancing to provide the Portfolio with its largest positive contribution amid stronger than expected energy demand and investors’ search for yield. |
| Within equities, the Portfolio’s exposure to European equities detracted, with its position in Italian equities hampering results the most amid market concerns about Italy’s financial companies. The Portfolio’s position in Spanish equities, which suffered due to geopolitical concerns, also diminished returns. In addition, the Portfolio’s tactical long position in Japanese bank stocks detracted, as Japanese banks reacted adversely to the BoJ’s introduction of negative interest rates in January 2016. Global bank stocks also suffered on concerns about the financial strength of Germany-based Deutsche Bank. Outside of traditional equity exposures, the Portfolio benefited modestly from a long position in master limited partnerships (“MLPs”), as the Alerian MLP Index reversed course following months of challenging performance. |
| Regarding its currency exposures, the Portfolio posted positive performance. A long position in the U.S. dollar versus a short position in the Chinese renminbi added to performance, as the renminbi depreciated approximately 6.6% against the U.S. dollar during the Reporting Period. The Portfolio was also bolstered by its short position in the euro, which experienced volatility due to geopolitical risks, particularly the potential ramifications of the Brexit vote and then ended the Reporting Period down very slightly versus the U.S. dollar. |
| Within commodities, a position designed to profit from steepening in the WTI crude oil futures price curve added to the portfolio performing particularly well at the beginning of the Reporting Period when oil prices fell on the back of abundant supply. |
| Q | How was the Portfolio positioned at the beginning of the Reporting Period? |
| A | In terms of its allocations at the beginning of the Reporting Period, the Portfolio had 24.88% of its total net assets invested in equity-related investments; 27.70% of its total net assets invested in fixed income-related investments; 12.77% of its total net assets invested in currency-related investments; and 0.23% of its total net assets invested in commodity-related investments. The Portfolio’s allocation to cash and cash equivalents was 34.42% of its total net assets at the beginning of the Reporting Period. In addition, the Portfolio maintained a position in cash and cash equivalents to cover the exposure of various derivatives positions. This represented 24.09% of the Portfolio’s accounting balance of cash, which totaled 58.51% at the beginning of the Reporting Period. The above sector breakout is inclusive of derivative exposure across all asset classes. |
| Q | How did you tactically manage the Portfolio’s allocations during the Reporting Period? |
| A | During the Reporting Period, in response to shifting macroeconomic and market dynamics, we made a number of changes to the Portfolio’s exposures. Overall, the Portfolio expressed views posited on a favorable outlook for U.S. economic fundamentals, attractive valuations in European and Japanese equities, and our belief that oil prices had fallen too low and would rise. These views were reflected in the Portfolio while also taking into account the market’s rising concerns about muted global economic growth and weak economic data in several other developed markets. We generally sought to reduce overall risk, which decreased Portfolio volatility, particularly in the last half of the Reporting Period. Our options-based implementations were modulated to reflect our views on equity markets and indices in certain regions and markets. |
| In terms of equity-related exposures, we adjusted the Portfolio’s allocation to the S&P 500® Index, as we sought to mitigate the potential downside of unexpected risks and allowed the Portfolio to remain tactically long beta. |
2
PORTFOLIO RESULTS
| (Beta refers to the component of returns that is attributable to market risk exposure, rather than manager skill.) For example, we bought index put options on the S&P 500® Index in November 2015 and February 2016, allowing them to expire at the end of March 2016. In June 2016, in anticipation of a series of near-term risks, including the Brexit referendum, U.S. bank stress test results and Spain’s general election, we added a hedging position in which the Portfolio held a tactical long position in S&P 500® Index put options. At the same time, we adopted an S&P 500® Index put spread strategy, which was introduced to mitigate potential downside risk for the Portfolio, while still allowing it the potential of upside participation. (A put spread is an option spread strategy that is created when an equal number of put options are bought and sold simultaneously at different strike prices.) Specific to the Eurozone, heightened market volatility presented opportunities to fine-tune the Portfolio’s exposures. For instance, in December 2015, we initiated a tactical long position in the EURO STOXX 50® using index options, which we funded by reducing the Portfolio’s allocation to Spanish equities. We exited the position in June 2016 as we reevaluated our views on potential earnings growth in the Eurozone. In Japan, we tactically managed the Portfolio’s position in TOPIX Banks Index futures, transitioning to a broader position in the Japanese equity market during February 2016 given our bullish view on Japanese equities, which we believed were undervalued. As greater risks emerged relative to our outlook on the Japanese economy and Japan’s financial sector, we reduced the Portfolio’s tactical long position in TOPIX Banks Index futures and eliminated it by the middle of the Reporting Period. |
| In fixed income, we allowed the Portfolio’s tactical short position in interest rate swaptions (options on interest rate swap contracts) to expire in August 2016. The position had been initiated in August 2015 based on strengthening U.S. labor market data and our expectation of more Fed interest rate increases than the market seemed to anticipate. However, because of the Fed’s caution amidst global uncertainty, interest rates did not increase as we had expected. |
| The Portfolio’s currency-related exposures were based on our views of global monetary policy and economic growth divergence. During the Reporting Period, we maintained the Portfolio’s long position in the U.S. dollar due to our positive view on U.S. economic growth and our expectation of further accommodative monetary policy from the ECB and the People’s Bank of China. At the end of 2015, we reduced the Portfolio’s long U.S. dollar relative value positions versus other developed market currencies, taking profits. In February 2016, we increased our bearish view on the Chinese renminbi by purchasing longer-dated forward foreign exchange contracts on the renminbi versus the U.S. dollar. For the same reason, we allowed the Portfolio’s put spread in the renminbi to expire at the end of the Reporting Period. We reduced the Portfolio’s long position in the U.S. dollar versus the euro during October 2016 as the currency markets provided us with attractive risk/reward opportunities to scale back the position. |
| Separately, the Portfolio entered into positions to capture our views on the energy market based on our core view that oil prices would stabilize toward the end of 2016 and into 2017. In December 2015, we removed the Portfolio’s tactical long position in the S&P GSCI® Crude Oil Enhanced Index versus its tactical short position in the S&P GSCI® Crude Oil Index to take profits. In addition, we rolled a tactical long position in energy, implemented by a short position in S&P 500® Energy Index put options out to January 2017, thereby locking in gains as oil prices remained volatile. We removed this position in September 2016. Our investment thesis for MLPs remained unchanged during the Reporting Period, and therefore, when the Portfolio’s long position in put options on certain MLPs expired “in the money” at the end of January 2016, we decided to purchase the underlying stock outright. (In this context, “in the money” means the strike price of a put option is above the market price of the underlying asset. The strike price is the price at which a specific derivative contract can be exercised.) |
| Q | How did the Portfolio use derivatives and similar instruments during the Reporting Period? |
| A | The Portfolio used derivatives and similar instruments as part of its investment strategy to express views implemented in the Portfolio. Positions were supported predominantly by cash held in the Portfolio specifically to cover its exposure to derivative instruments and any potential margin calls or future losses experienced. |
During the Reporting Period, the Portfolio employed equity futures, currency forwards and options to express active investment views with greater versatility across regional equity markets, global market sectors and the currency markets. The Portfolio also utilized German Bund futures toward the end of the Reporting Period. The use of equity futures, options and German Bund futures had a negative impact on performance during the Reporting Period. The use of currency forwards contributed positively to performance, |
3
PORTFOLIO RESULTS
driven primarily by the Portfolio’s short positions in the Chinese renminbi and the euro, which added to results as the U.S. dollar strengthened. To afford greater risk management precision, options on equity indices were also utilized to tactically adjust the amount of equity risk and downside risk in the Portfolio. Options on equity indices detracted broadly from the Portfolio’s performance, especially those we used to express our views on Italy amid market concerns about Italy’s financial companies. While the options on equity indices that we used to hedge exposure to the U.S. equity market also detracted from performance, they served their intended purpose of managing potential downside risk in the Portfolio. Additionally, the Portfolio employed swaps to express our views on the shape of the WTI crude oil futures price curve, as we sought to profit when contango in the oil market steepened. (Contango is a situation where the futures price of a commodity is above the expected future spot price.) The Portfolio’s use of these swaps had a positive impact on performance during the Reporting Period. Also, the Portfolio utilized interest rate swaptions to adopt an underweight duration position in the front end, or short-term segment, of the U.S. Treasury yield curve. (Yield curve is a spectrum of maturities.) The use of interest rate swaptions had a negative impact on Portfolio performance during the Reporting Period. |
| Q | How was the Portfolio positioned at the end of the Reporting Period? |
| A | In terms of its allocations at the end of the Reporting Period, the Portfolio had 12.36% of its total net assets invested in equity-related investments; 12.70% of its total net assets invested in fixed income-related investments; and 12.23% of its total net assets invested in currency-related investments. The Portfolio did not have any of its total net assets invested in commodity-related investments at the end of the Reporting Period. The Portfolio’s allocation to cash and cash equivalents was 62.71% of its total net assets which we planned to invest as soon as we identified attractive opportunities based on our short-term or medium-term market views. In addition, the Portfolio maintained a position in cash and cash equivalents to cover the exposure of various derivatives positions. This represented 11.26% of the Portfolio’s accounting balance of cash, which totaled 73.98% at the end of the Reporting Period. The above sector breakout is inclusive of derivative exposure across all asset classes. Although the above sector breakout is inclusive of derivative exposure across all asset classes, it does not necessarily include the cash held to support those positions. Derivatives positions are mostly supported by cash held in the Portfolio specifically to cover its exposure and any potential margin calls or future losses experienced. Given the line-up of positions held, most of them were derivatives-based, so the cash allocation at the end of the period is much higher. |
| Q | What is the Portfolio’s tactical asset allocation view and strategy for the months ahead? |
| A | At the end of the Reporting Period, we expected continued global economic growth, with the world economy likely, in our view, to expand in 2016 at a pace similar to that of 2015. However, we acknowledge more potential downside risk. Overall, we continue to be pro-risk and pro-growth, seeking to take advantage of potential market weakness and mispricing in an environment where we expect market returns and volatility to remain largely range bound. |
| In terms of our macro views, we believe that U.S. economic growth could remain resilient as macroeconomic data has improved. As such, at the end of the Reporting Period, we expected the Fed to raise interest rates in December 2016. While a December interest rate hike is also in line with market expectations, we think the market is generally underestimating the pace of potential Fed action. Geopolitically, we think Brexit negotiations could present challenges for the U.K. in the near term, but the outlook remained highly uncertain at the end of the Reporting Period, with the impact on the global economy likely, in our view, to be more limited. Meanwhile, we believe that China’s economic growth could decelerate further during the next several years, but we do not anticipate a hard landing, or recession, in the near term and believe there is sufficient policy support in China to minimize downside risks. |
| Looking ahead, we believed at the end of the Reporting Period that short-term and long-term interest rates were likely to gradually increase. Broadly speaking, however, we think interest rates could remain relatively low for a considerable period of time. In terms of equities, we believed U.S. equities would remain expensive in the near term, as periods of low and stable inflation have historically supported higher equity prices. Although the U.S. dollar appreciated during the Reporting Period, we believe its strength was due primarily to monetary policy divergence and as global central banks reach the limit of their accommodative policies, we expect the pace of U.S. dollar appreciation to slow. Relative to crude oil, we believed at the end of the Reporting Period that the market remained oversupplied with higher than normal inventories, but that it might, in our opinion, rebalance by the end of 2016 with prices likely to remain volatile within a $40 to $60 per barrel range. |
4
PORTFOLIO RESULTS
Index Definitions
The S&P 500® Index is a U.S. stock market index based on the market capitalizations of 500 large companies having common stock listed on the New York Stock Exchange or NASDAQ. The S&P 500® Index components and their weightings are determined by S&P Dow Jones Indices. It is not possible to invest in an unmanaged index.
The S&P GSCI® Crude Oil Enhanced Index measures the total return available to investors holding a modified version of the S&P GSCI® Index to which certain dynamic, timing, and seasonal rolling rules are applied. The index includes the same futures contracts as the S&P GSCI® Index although contract months vary and the return values differ. It is not possible to invest in an unmanaged index.
The S&P GSCI® Crude Oil Index provides investors with a reliable and publicly available benchmark for investment performance in the crude oil market. It is not possible to invest in an unmanaged index.
The EURO STOXX 50® provides a blue-chip representation of super-sector leaders in the Eurozone. The index covers 50 stocks from 12 Eurozone countries: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. It is not possible to invest in an unmanaged index.
The TOPIX Banks Index is an index of bank stocks created by dividing the constituents of TOPIX (Tokyo Stock Price Index) into the industrial sectors defined by Japans’ Security Identification Code Committee. It is not possible to invest in an unmanaged index.
The S&P 500® Energy Index comprises those companies included in the S&P 500 that are classified as members of the GICS® energy sector. It is not possible to invest in an unmanaged index.
The Alerian MLP Index is a leading measure of energy master limited partnerships (“MLPs). It is a float-adjusted, capitalization-weighted index, whose constituents represent approximately 85% of total float-adjusted market capitalization. It is not possible to invest in an unmanaged index.
5
PORTFOLIO BASICS
Tactical Tilt Overlay Fund
as of October 31, 2016
| PERFORMANCE REVIEW | ||||||||||
| November 1, 2015–October 31, 2016 | Portfolio Total Return (based on NAV)1 | The Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Maturity Index2 | ||||||||
| Institutional Shares | -0.96 | % | 0.54 | % | ||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Maturity Index (the “Index”) tracks the performance of a synthetic asset paying LIBOR to a stated maturity. The Index is based on the assumed purchase at par of a synthetic instrument having exactly its stated maturity and with a coupon equal to that day’s fixing rate. That issue is assumed to be sold the following day (priced at a yield equal to the current day fixing rate) and rolled into a new instrument. |
| STANDARDIZED TOTAL RETURNS3 | ||||||||||||||
| For the period ended 9/30/16 | One Year | Since Inception | Inception Date | |||||||||||
| Institutional Shares | 1.64 | % | 1.37 | % | 7/31/14 | |||||||||
| 3 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. Because Institutional Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares.
6
PORTFOLIO BASICS
| EXPENSE RATIOS4 | ||||||||||
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
| Institutional Shares | 0.86 | % | 1.15 | % | ||||||
| 4 | The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least February 26, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
| PORTFOLIO COMPOSITION5 |
| 5 | Underlying sector allocations of exchange traded funds and investment companies held by the Portfolio are not reflected in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Portfolio’s investments but may not represent the Portfolio’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Consolidated Schedule of Investments. |
7
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Performance Summary
October 31, 2016
The following graph shows the value, as of October 31, 2016, of a $1,000,000 investment made on July 31, 2014 (commencement of operations) in Institutional Shares at NAV. For comparative purposes, the performance of the Portfolio’s benchmark, the Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Maturity Index is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations may cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. In addition to the Investment Adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Portfolio performance. These factors include, but are not limited to, Portfolio operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Portfolio.
| Tactical Tilt Overlay Fund’s Lifetime Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from July 31, 2014 through October 31, 2016.
| Average Annual Total Return through October 31, 2016 | One Year | Since Inception | ||||||
Institutional Shares (Commenced July 31, 2014) | -0.96% | 1.83% | ||||||
|
|
|
|
|
8
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Schedule of Investments
October 31, 2016
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
| Corporate Obligations – 8.8% | ||||||||||||||
| Distributor(a) – 0.2% | ||||||||||||||
| AmeriGas Partners LP/AmeriGas Finance Corp. |
| ||||||||||||
| $ | 8,450,000 | 5.875 | % | 08/20/26 | $ | 8,872,500 | ||||||||
|
| |||||||||||||
| Energy – Exploration & Production – 5.0% | ||||||||||||||
| Antero Resources Corp.(a) |
| ||||||||||||
| 7,300,000 | 5.375 | 11/01/21 | 7,373,000 | |||||||||||
| Berry Petroleum Co. LLC(a)(b) |
| ||||||||||||
| 1,200,000 | 6.750 | 11/01/20 | 666,000 | |||||||||||
| 18,124,000 | 6.375 | 09/15/22 | 10,058,820 | |||||||||||
| California Resources Corp.(a) |
| ||||||||||||
| 14,879,000 | 8.000(c) | 12/15/22 | 10,117,720 | |||||||||||
| 413,000 | 6.000 | 11/15/24 | 231,280 | |||||||||||
| Carrizo Oil & Gas, Inc.(a) |
| ||||||||||||
| 7,150,000 | 7.500 | 09/15/20 | 7,409,187 | |||||||||||
| Chaparral Energy, Inc.(a)(b) |
| ||||||||||||
| 11,500,000 | 8.250 | 09/01/21 | 8,970,000 | |||||||||||
| Chesapeake Energy Corp. |
| ||||||||||||
| 4,800,000 | 8.000(a)(c) | 12/15/22 | 4,872,000 | |||||||||||
| 8,800,000 | 5.750 | 03/15/23 | 7,612,000 | |||||||||||
| Concho Resources, Inc.(a) |
| ||||||||||||
| 7,150,000 | 5.500 | 04/01/23 | 7,328,750 | |||||||||||
| Continental Resources, Inc.(a) |
| ||||||||||||
| 8,900,000 | 3.800 | 06/01/24 | 8,188,000 | |||||||||||
| CrownRock LP/CrownRock Finance, Inc.(a)(c) |
| ||||||||||||
| 7,450,000 | 7.750 | 02/15/23 | 7,952,875 | |||||||||||
| Denbury Resources, Inc.(a) |
| ||||||||||||
| 9,902,000 | 9.000(c) | 05/15/21 | 10,199,060 | |||||||||||
| 1,100,000 | 5.500 | 05/01/22 | 858,000 | |||||||||||
| 2,900,000 | 4.625 | 07/15/23 | 2,088,000 | |||||||||||
| Endeavor Energy Resources LP/EER Finance, Inc.(a)(c) |
| ||||||||||||
| 7,000,000 | 8.125 | 09/15/23 | 7,472,500 | |||||||||||
| Gulfport Energy Corp.(a)(c) |
| ||||||||||||
| 1,150,000 | 6.000 | 10/15/24 | 1,173,000 | |||||||||||
| Halcon Resources Corp.(a)(c) |
| ||||||||||||
| 7,765,000 | 8.625 | 02/01/20 | 7,842,650 | |||||||||||
| 2,099,000 | 12.000 | 02/15/22 | 2,256,425 | |||||||||||
| Jones Energy Holdings LLC/Jones Energy Finance Corp.(a) |
| ||||||||||||
| 13,850,000 | 6.750 | 04/01/22 | 12,465,000 | |||||||||||
| Laredo Petroleum, Inc.(a) |
| ||||||||||||
| 4,700,000 | 7.375 | 05/01/22 | 4,841,000 | |||||||||||
| 6,050,000 | 6.250 | 03/15/23 | 6,050,000 | |||||||||||
| Matador Resources Co.(a) |
| ||||||||||||
| 7,050,000 | 6.875 | 04/15/23 | 7,402,500 | |||||||||||
| MEG Energy Corp.(a)(c) |
| ||||||||||||
| 16,050,000 | 6.500 | 03/15/21 | 13,803,000 | |||||||||||
| 1,450,000 | 7.000 | 03/31/24 | 1,189,000 | |||||||||||
| Memorial Production Partners LP/Memorial Production Finance | | ||||||||||||
| 7,650,000 | 7.625 | 05/01/21 | 3,136,500 | |||||||||||
| Newfield Exploration Co. |
| ||||||||||||
| 2,350,000 | 5.625 | 07/01/24 | 2,444,000 | |||||||||||
| 4,350,000 | 5.375(a) | 01/01/26 | 4,458,750 | |||||||||||
| Oasis Petroleum, Inc.(a) |
| ||||||||||||
| 15,900,000 | 6.875 | 03/15/22 | 15,780,750 | |||||||||||
| Parsley Energy LLC/Parsley Finance Corp.(a)(c) |
| ||||||||||||
| 5,800,000 | 7.500 | 02/15/22 | 6,148,000 | |||||||||||
|
| |||||||||||||
| Corporate Obligations – (continued) | ||||||||||||||
| Energy – Exploration & Production – (continued) | ||||||||||||||
| Range Resources Corp.(a) |
| ||||||||||||
| $ | 4,950,000 | 5.000%(c) | 08/15/22 | $ | 4,838,625 | |||||||||
| 2,500,000 | 4.875 | 05/15/25 | 2,375,000 | |||||||||||
| Rice Energy, Inc.(a) |
| ||||||||||||
| 7,150,000 | 6.250 | 05/01/22 | 7,293,000 | |||||||||||
| Sanchez Energy Corp.(a) |
| ||||||||||||
| 8,700,000 | 6.125 | 01/15/23 | 7,438,500 | |||||||||||
| Seven Generations Energy Ltd.(a)(c) |
| ||||||||||||
| 2,750,000 | 8.250 | 05/15/20 | 2,928,750 | |||||||||||
| 550,000 | 6.750 | 05/01/23 | 583,000 | |||||||||||
| 4,850,000 | 6.875 | 06/30/23 | 5,116,750 | |||||||||||
| SM Energy Co.(a) |
| ||||||||||||
| 5,550,000 | 6.500 | 11/15/21 | 5,633,250 | |||||||||||
| 7,850,000 | 6.125 | 11/15/22 | 7,830,375 | |||||||||||
| 2,950,000 | 6.750 | 09/15/26 | 3,023,750 | |||||||||||
| Whiting Petroleum Corp. |
| ||||||||||||
| 2,100,000 | 1.250 | 04/01/20 | 1,761,375 | |||||||||||
| 3,850,000 | 5.750(a) | 03/15/21 | 3,561,250 | |||||||||||
| 9,360,000 | 6.250(a) | 04/01/23 | 9,172,800 | |||||||||||
| WPX Energy, Inc.(a) |
| ||||||||||||
| 9,800,000 | 6.000 | 01/15/22 | 9,751,000 | |||||||||||
|
| |||||||||||||
| 261,695,192 | ||||||||||||||
|
| |||||||||||||
| Energy – Services – 1.4% | ||||||||||||||
| Atwood Oceanics, Inc.(a) |
| ||||||||||||
| 1,450,000 | 6.500 | 02/01/20 | 1,152,750 | |||||||||||
| CVR Refining LLC/Coffeyville Finance, Inc.(a) |
| ||||||||||||
| 5,386,000 | 6.500 | 11/01/22 | 5,008,980 | |||||||||||
| Ensco PLC(a) |
| ||||||||||||
| 3,800,000 | 4.500 | 10/01/24 | 3,040,000 | |||||||||||
| 2,150,000 | 5.200 | 03/15/25 | 1,748,896 | |||||||||||
| FTS International, Inc.(a)(c)(d) |
| ||||||||||||
| 3,600,000 | 8.350 | 06/15/20 | 3,465,000 | |||||||||||
| Noble Holding International Ltd. |
| ||||||||||||
| 10,300,000 | 4.625 | 03/01/21 | 8,639,125 | |||||||||||
| Pride International, Inc. |
| ||||||||||||
| 5,150,000 | 8.500 | 06/15/19 | 5,600,625 | |||||||||||
| 3,100,000 | 6.875 | 08/15/20 | 3,154,250 | |||||||||||
| Rowan Cos., Inc. |
| ||||||||||||
| 2,900,000 | 7.875 | 08/01/19 | 3,139,540 | |||||||||||
| 7,650,000 | 5.400(a) | 12/01/42 | 5,163,750 | |||||||||||
| Sunoco LP/Sunoco Finance Corp.(a) |
| ||||||||||||
| 6,150,000 | 5.500 | 08/01/20 | 6,242,250 | |||||||||||
| 2,350,000 | 6.375 | 04/01/23 | 2,414,625 | |||||||||||
| Tesoro Corp.(a) |
| ||||||||||||
| 1,200,000 | 5.375 | 10/01/22 | 1,236,000 | |||||||||||
| 2,950,000 | 5.125 | 04/01/24 | 3,053,250 | |||||||||||
| Transocean, Inc. |
| ||||||||||||
| 2,400,000 | 3.750 | 10/15/17 | 2,394,000 | |||||||||||
| 7,950,000 | 7.500 | 04/15/31 | 5,644,500 | |||||||||||
| 5,900,000 | 6.800 | 03/15/38 | 3,894,000 | |||||||||||
| Weatherford International Ltd.(a) |
| ||||||||||||
| 6,650,000 | 4.500 | 04/15/22 | 5,918,500 | |||||||||||
| 3,000,000 | 8.250 | 06/15/23 | 3,097,500 | |||||||||||
|
| |||||||||||||
| 74,007,541 | ||||||||||||||
|
| |||||||||||||
| The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Schedule of Investments (continued)
October 31, 2016
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
| Corporate Obligations – (continued) | ||||||||||||||
| Pipelines – 2.2% | ||||||||||||||
| Antero Midstream Partners LP/Antero Midstream Finance | | ||||||||||||
| $ | 4,750,000 | 5.375% | 09/15/24 | $ | 4,785,625 | |||||||||
| Blue Racer Midstream LLC/Blue Racer Finance Corp.(a)(c) |
| ||||||||||||
| 17,350,000 | 6.125 | 11/15/22 | 17,068,062 | |||||||||||
| DCP Midstream LLC(c) |
| ||||||||||||
| 1,700,000 | 9.750 | 03/15/19 | 1,904,000 | |||||||||||
| 4,510,000 | 5.350 | 03/15/20 | 4,667,850 | |||||||||||
| 250,000 | 6.750 | 09/15/37 | 261,875 | |||||||||||
| Energy Transfer Equity LP |
| ||||||||||||
| 850,000 | 7.500 | 10/15/20 | 930,750 | |||||||||||
| 3,050,000 | 5.875(a) | 01/15/24 | 3,095,750 | |||||||||||
| 400,000 | 5.500(a) | 06/01/27 | 390,000 | |||||||||||
| Genesis Energy LP/Genesis Energy Finance Corp.(a) |
| ||||||||||||
| 12,150,000 | 6.000 | 05/15/23 | 12,210,750 | |||||||||||
| ONEOK, Inc.(a) |
| ||||||||||||
| 6,550,000 | 7.500 | 09/01/23 | 7,507,938 | |||||||||||
| Sabine Pass Liquefaction LLC(a) |
| ||||||||||||
| 26,400,000 | 5.625 | 04/15/23 | 28,050,000 | |||||||||||
| Targa Resources Partners LP/Targa Resources Partners Finance | | ||||||||||||
| 11,050,000 | 5.250 | 05/01/23 | 10,994,750 | |||||||||||
| 4,650,000 | 6.750 | 03/15/24 | 4,952,250 | |||||||||||
| Tesoro Logistics LP/Tesoro Logistics Finance Corp.(a) |
| ||||||||||||
| 6,900,000 | 6.250 | 10/15/22 | 7,314,000 | |||||||||||
| The Williams Cos., Inc. |
| ||||||||||||
| 3,393,000 | 3.700(a) | 01/15/23 | 3,282,728 | |||||||||||
| 2,700,000 | 7.500 | 01/15/31 | 3,098,250 | |||||||||||
| 2,500,000 | 5.750(a) | 06/24/44 | 2,556,250 | |||||||||||
|
| |||||||||||||
| 113,070,828 | ||||||||||||||
|
| |||||||||||||
| TOTAL CORPORATE OBLIGATIONS | ||||||||||||||
| (Cost $414,054,913) | $ | 457,646,061 | ||||||||||||
|
| |||||||||||||
| Bank Loans(e) – 0.1% | ||||||||||||||
| Energy – 0.1% | ||||||||||||||
| American Energy – Marcellus LLC |
| ||||||||||||
| $ | 1,825,000 | 5.250% | 08/04/20 | $ | 1,027,712 | |||||||||
| 7,775,000 | 8.500 | 08/04/21 | 690,031 | |||||||||||
| CITGO Holding, Inc. |
| ||||||||||||
| 2,049,707 | 9.500 | 05/12/18 | 2,071,742 | |||||||||||
| Magnum Hunter Resources, Inc.(f)(g) |
| ||||||||||||
| 294,189 | 8.000 | 05/06/19 | 285,364 | |||||||||||
|
| |||||||||||||
| TOTAL BANK LOANS | ||||||||||||||
| (Cost $5,687,546) | $ | 4,074,849 | ||||||||||||
|
| |||||||||||||
| Shares | Description | Value | ||||||
| Common Stocks(b) – 0.1% | ||||||||
| Oil, Gas & Consumable Fuels – 0.1% | ||||||||
| 239,200 | Denbury Resources, Inc. | $ | 571,688 | |||||
| 199,602 | Magnum Hunter Resources Corp. P.I.(f)(g) | 2,453,108 | ||||||
| 368,240 | Whiting Petroleum Corp. | 3,034,298 | ||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $5,343,985) | $ | 6,059,094 | ||||||
|
| |||||||
| Exchange Traded Funds – 6.4% | ||||||||
| 12,757,095 | Alerian MLP ETF | $ | 156,019,272 | |||||
| 5,073,571 | SPDR S&P Bank ETF | 175,900,706 | ||||||
|
| |||||||
| TOTAL EXCHANGE TRADED FUNDS | ||||||||
| (Cost $301,169,700) | $ | 331,919,978 | ||||||
|
| |||||||
| Contracts | Exercise Price | Expiration Date | Value | |||||||||||
| Option Contracts Purchased – 0.4% | ||||||||||||||
| Options on Equities – 0.4% | ||||||||||||||
| Barclays Bank PLC Put – S&P 500 Index |
| ||||||||||||
| 296,691 | $ | 2,181.21 | 12/30/16 | $ | 24,039,946 | |||||||||
| (Cost $22,684,994) | ||||||||||||||
|
| |||||||||||||
| Shares | Distribution Rate | Value | ||||||
| Investment Companies(d)(f) – 81.6% | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||||
| $3,756,204,294 | 0.300 | % | $ | 3,756,204,294 | ||||
Goldman Sachs High Yield Floating Rate Fund – Institutional Shares |
| |||||||
| 33,888,909 | 4.190 | 329,739,084 | ||||||
Goldman Sachs High Yield Fund – Institutional Shares |
| |||||||
| 26,600,966 | 4.880 | 171,842,238 | ||||||
| ||||||||
| TOTAL INVESTMENT COMPANIES | ||||||||
| (Cost $4,265,031,968) | $ | 4,257,785,616 | ||||||
| ||||||||
| TOTAL INVESTMENTS – 97.4% | ||||||||
| (Cost $5,013,973,106) | $ | 5,081,525,544 | ||||||
| ||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 2.6% | 133,319,999 | |||||||
| ||||||||
| NET ASSETS – 100.0% | $ | 5,214,845,543 | ||||||
| ||||||||
| 10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. | |
(b) | Security is currently in default and/or non-income producing. | |
(c) | Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $118,645,767, which represents approximately 2.3% of net assets as of October 31, 2016. | |
(d) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on October 31, 2016. | |
(e) | Bank Loans often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The stated interest rate represents the weighted average interest rate of all contracts within the bank loan facility on October 31, 2016. Bank Loans typically have rates of interest which are predetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks and the certificate of deposit rate or other base lending rates used by commercial lenders. | |
(f) | Represents affiliated funds/issuers. | |
(g) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered and the registration statement is effective. Disposal of these securities may involve time consuming negotiations and prompt sale at an acceptable price may be difficult. Total market value of restricted securities amounts to $2,738,472, which represents approximately 0.1% of net assets as of October 31, 2016. See additional details below: |
| Restricted Security | Acquisition Date | Cost | ||||||||
Magnum Hunter Resources Corp. PI | 05/06/16 - 08/18/16 | $ | 1,991,680 | |||||||
Magnum Hunter Resources, Inc. | 05/06/16 - 08/08/16 | 294,189 | ||||||||
| ||
Currency Abbreviations: | ||
CNH | —Chinese Yuan Renminbi Offshore | |
EUR | —Euro | |
USD | —U.S. Dollar | |
Investment Abbreviations: | ||
ETF | —Exchange Traded Fund | |
LLC | —Limited Liability Company | |
LP | —Limited Partnership | |
PI | —Private Investment | |
PLC | —Public Limited Company | |
| ||
| The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Schedule of Investments (continued)
October 31, 2016
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At October 31, 2016, the Portfolio had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| Counterparty | Currency Purchased | Currency Sold | Current Value | Settlement Date | Unrealized Gain | |||||||||||||||||||
Morgan Stanley & Co. International PLC | USD | 341,981,161 | CNH | 2,311,519,828 | $ | 338,200,533 | 02/17/17 | $ | 3,780,633 | |||||||||||||||
| USD | 328,090,374 | EUR | 290,510,000 | 319,679,115 | 12/21/16 | 8,411,259 | ||||||||||||||||||
| TOTAL | $ | 12,191,892 | ||||||||||||||||||||||
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| Counterparty | Currency Purchased | Currency Sold | Current Value | Settlement Date | Unrealized Loss | |||||||||||||||||||
Morgan Stanley & Co. International PLC | EUR | 145,490,000 | USD | 161,303,672 | $ | 160,098,152 | 12/21/16 | $ | (1,205,520 | ) | ||||||||||||||
| USD | 133,326,635 | CNH | 935,052,881 | 133,892,264 | 02/14/18 | (565,629 | ) | |||||||||||||||||
| TOTAL | $ | (1,771,149 | ) | |||||||||||||||||||||
FUTURES CONTRACTS — At October 31, 2016, the Portfolio had the following futures contracts:
| Type | Number of Contracts Long (Short) | Expiration Date | Current Value | Unrealized Gain (Loss) | ||||||||||||
Euro-Bobl | (2,264 | ) | December 2016 | $ | (325,848,550 | ) | $ | 1,397,188 | ||||||||
IBEX 35 Index | 3,385 | November 2016 | 339,145,078 | 17,832,345 | ||||||||||||
| TOTAL | $ | 19,229,533 | ||||||||||||||
| 12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| ADDITIONAL INVESTMENT INFORMATION (continued) |
WRITTEN OPTIONS CONTRACTS — For the fiscal year ended October 31, 2016 the Portfolio had following written options:
OVER THE COUNTER OPTIONS ON EQUITIES CONTRACTS
| Counterparty | Description | Contracts | Expiration Date | Strike Price | Value | |||||||||||||
Barclays Bank PLC | Put - S&P 500® Index | 296,691 | 12/30/16 | $ | 2,028.53 | $ | (7,723,222 | ) | ||||||||||
Deutsche Bank AG | Call - S&P 500® Index | 151,009 | 12/30/16 | 2,100.00 | (9,590,368 | ) | ||||||||||||
| TOTAL (Premium Received $22,091,116) | 447,700 | $ | (17,313,590 | ) | ||||||||||||||
OPTIONS ON EQUITIES CONTRACTS — During the fiscal year ended October 31, 2016, the Portfolio had the following written equity options activities:
| Contracts | Premiums Received | |||||||
Contracts Outstanding October 31, 2015 | 5,671,242 | $ | 58,733,878 | |||||
Contracts Written | 18,103,774 | 56,479,213 | ||||||
Contracts Bought to Close | (11,703,733 | ) | (82,768,881 | ) | ||||
Contracts Expired | (178,605 | ) | (4,055,082 | ) | ||||
Contracts Assigned | (11,444,978 | ) | (6,298,012 | ) | ||||
Contracts Outstanding October 31, 2016 | 447,700 | $ | 22,091,116 | |||||
| The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Schedule of Investments (continued)
October 31, 2016
| ADDITIONAL INVESTMENT INFORMATION (continued) |
WRITTEN OPTION CURRENCY CONTRACTS — During the fiscal year ended October 31, 2016, the Portfolio had the following written options currency activities:
| Notional Amount (000s) | Premiums Received | |||||||
Contracts Outstanding October 31, 2015 | $ | 828,909 | $ | 15,048,703 | ||||
Contracts Written | 46,723 | 1,343,286 | ||||||
Contracts Bought to Close | (550,441 | ) | (11,982,400 | ) | ||||
Contracts Expired | (325,191 | ) | (4,409,589 | ) | ||||
Contracts Outstanding October 31, 2016 | $ | — | $ | — | ||||
INTEREST RATE SWAPTION CONTRACTS — During the fiscal year ended October 31, 2016, the Portfolio had the following interest rate swaptions activities:
| Notional Amount (000s) | Premiums Received | |||||||
Contracts Outstanding October 31, 2015 | $ | 1,606,728 | $ | 14,661,393 | ||||
Contracts Assigned | (1,606,728 | ) | (14,661,393 | ) | ||||
Contracts Outstanding October 31, 2016 | $ | — | $ | — | ||||
| 14 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Statement of Assets and Liabilities(a)
October 31, 2016
| Assets: | ||||||
Investments of unaffiliated issuers, at value (cost $746,655,269) | $ | 821,001,456 | ||||
Investments of affiliated issuers, at value (cost $4,267,317,837) | 4,260,524,088 | |||||
Cash | 61,425,835 | |||||
Foreign currencies, at value (cost $2,287,226) | 2,277,200 | |||||
Unrealized gain on forward foreign currency exchange contracts | 12,191,892 | |||||
Receivables: | ||||||
Collateral on certain derivative contracts(b) | 55,390,032 | |||||
Investments sold | 43,423,215 | |||||
Dividends and interest | 10,309,523 | |||||
Portfolio shares sold | 8,645,682 | |||||
Foreign tax reclaims | 95,232 | |||||
Reimbursement from investment adviser | 16,454 | |||||
Other assets | 3,769 | |||||
| Total assets | 5,275,304,378 | |||||
| Liabilities: | ||||||
Unrealized loss on forward foreign currency exchange contracts | 1,771,149 | |||||
Variation margin on certain derivative contracts | 695,689 | |||||
Written option contracts, at value (premium received $22,091,116) | 17,313,590 | |||||
Payables: | ||||||
Collateral on certain derivative contracts | 27,090,000 | |||||
Portfolio shares redeemed | 6,621,684 | |||||
Investments purchased | 3,627,337 | |||||
Management fees | 2,357,585 | |||||
Investments purchased on an extended — settlement basis | 446,125 | |||||
Transfer Agency fees | 175,964 | |||||
Accrued expenses | 359,712 | |||||
| Total liabilities | 60,458,835 | |||||
| Net Assets: | ||||||
Paid-in capital | 5,364,338,131 | |||||
Undistributed net investment income | 74,789,723 | |||||
Accumulated net realized loss | (326,264,542 | ) | ||||
Net unrealized gain | 101,982,231 | |||||
| NET ASSETS | $ | 5,214,845,543 | ||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized) | 530,643,446 | |||||
Net asset value, offering and redemption price per share: | $9.83 | |||||
| (a) | Statement of Assets and Liabilities for the Portfolio is consolidated and includes the balances of a wholly owned subsidiary, Cayman Commodity — TTIF, Ltd. Accordingly, all interfund balances and transactions have been eliminated. |
| (b) | Includes amounts segregated for initial margin requirements and/or collateral on futures, forward foreign currency exchange contracts and swap transactions of $40,170,000, $5,060,000 and $10,160,032, respectively. |
| The accompanying notes are an integral part of these financial statements. | 15 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Statement of Operations(a)
For the Fiscal Year Ended October 31, 2016
| Investment income: | ||||||
Interest | $ | 44,270,338 | ||||
Dividends — unaffiliated issuers (net of foreign withholding taxes of $4,133) | 2,840,825 | |||||
Dividends — affiliated issuers | 39,403,195 | |||||
| Total investment income | 86,514,358 | |||||
| Expenses: | ||||||
Management fees | 35,129,354 | |||||
Transfer Agency fees | 1,986,151 | |||||
Custody, accounting and administrative services | 423,494 | |||||
Registration fees | 309,359 | |||||
Professional fees | 215,789 | |||||
Printing and mailing costs | 49,562 | |||||
Trustee fees | 36,665 | |||||
Other | 186,893 | |||||
| Total expenses | 38,337,267 | |||||
Less — expense reductions | (9,164,155 | ) | ||||
| Net expenses | 29,173,112 | |||||
| NET INVESTMENT INCOME | 57,341,246 | |||||
| Realized and unrealized gain (loss): | ||||||
Net realized gain (loss) from: | ||||||
Investments — unaffiliated issuers | (162,624,045 | ) | ||||
Investments — affiliated issuers | (38,357,451 | ) | ||||
Futures contracts | (40,582,064 | ) | ||||
Written options | (58,107,460 | ) | ||||
Swap contracts | 8,469,553 | |||||
Forward foreign currency exchange contracts | 8,240,885 | |||||
Foreign currency transactions | (440,083 | ) | ||||
Net change in unrealized gain (loss) on: | ||||||
Investments — unaffiliated issuers | 170,053,626 | |||||
Investments — affiliated issuers | 24,854,770 | |||||
Futures contracts | 14,606,190 | |||||
Written options | (7,874,468 | ) | ||||
Swap contracts | 2,063,578 | |||||
Forward foreign currency exchange contracts | 2,869,498 | |||||
Foreign currency translation | 147,021 | |||||
| Net realized and unrealized loss | (76,680,450 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (19,339,204 | ) | |||
| (a) | Statement of Operations for the Portfolio is consolidated and includes the balances of a wholly owned subsidiary, Cayman Commodity — TTIF, Ltd. Accordingly, all interfund balances and transactions have been eliminated. |
| 16 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Statements of Changes in Net Assets(a)
For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||
| From operations: | ||||||||||
Net investment income | $ | 57,341,246 | $ | 56,995,143 | ||||||
Net realized gain (loss) | (283,400,665 | ) | 170,768,120 | |||||||
Net change in unrealized gain (loss) | 206,720,215 | (108,783,001 | ) | |||||||
| Net increase (decrease) in net assets resulting from operations | (19,339,204 | ) | 118,980,262 | |||||||
| Distributions to shareholders: | ||||||||||
From net investment income | (216,014,287 | ) | (21,152,095 | ) | ||||||
| From share transactions: | ||||||||||
Proceeds from sales of shares | 1,527,879,564 | 3,261,513,640 | ||||||||
Reinvestment of distributions | 216,014,287 | 21,045,722 | ||||||||
Cost of shares redeemed | (958,354,546 | ) | (238,278,749 | ) | ||||||
| Net increase in net assets resulting from share transactions | 785,539,305 | 3,044,280,613 | ||||||||
| TOTAL INCREASE | 550,185,814 | 3,142,108,780 | ||||||||
| Net assets: | ||||||||||
Beginning of year | 4,664,659,729 | 1,522,550,949 | ||||||||
End of year | $ | 5,214,845,543 | $ | 4,664,659,729 | ||||||
| Undistributed net investment income | $ | 74,789,723 | $ | 200,441,707 | ||||||
| (a) | Statement of Changes in Net Assets for the Portfolio is consolidated and includes the balances of a wholly owned subsidiary, Cayman Commodity — TTIF, Ltd. Accordingly, all interfund balances and transactions have been eliminated. |
| The accompanying notes are an integral part of these financial statements. | 17 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| Income (loss) from investment operations | Distributions to shareholder from net investment income | |||||||||||||||||||||
| Year - Share Class | Net asset value, beginning of year | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | ||||||||||||||||||
| FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||
2016 - Institutional Shares | $ | 10.40 | $ | 0.11 | $ | (0.22 | ) | $ | (0.11 | ) | $ | (0.46 | ) | |||||||||
2015 - Institutional Shares | 9.87 | 0.18 | 0.46 | 0.64 | (0.11 | ) | ||||||||||||||||
| FOR THE PERIOD ENDED OCTOBER 31, | ||||||||||||||||||||||
2014 - Institutional Shares (Commenced operations July 31, 2014) | 10.00 | 0.04 | (0.17 | ) | (0.13 | ) | — | |||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (c) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (d) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
| (e) | Annualized. |
| 18 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Net asset value, end of year | Total return(b) | Net assets, end of year (in 000s) | Ratio of net expenses to average net assets(c) | Ratio of total expenses to average net assets(c) | Ratio of net investment to average net assets | Portfolio turnover rate(d) | ||||||||||||||||||||||||||||||||||
| $ | 9.83 | (0.96 | )% | $ | 5,214,846 | 0.59 | % | 0.77 | % | 1.15 | % | 48 | % | |||||||||||||||||||||||||||
| 10.40 | 6.57 | 4,664,660 | 0.52 | 0.79 | 1.77 | 81 | ||||||||||||||||||||||||||||||||||
| 9.87 | (1.30 | ) | 1,522,551 | 0.63 | (e) | 0.86 | (e) | 1.63 | (e) | 45 | ||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 19 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements
October 31, 2016
| 1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. Goldman Sachs Tactical Tilt Overlay Fund (the “Portfolio”) is a non-diversified fund and currently offers one class of shares — Institutional Shares (effective June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund). The Portfolio commenced operations on July 31, 2014. Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to the Portfolio pursuant to a management agreement (the “Agreement”) with the Trust.
| 2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.
A. Basis of Consolidation for the Goldman Sachs Tactical Tilt Overlay Fund — The Cayman Commodity – TTIF, Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated on July 31, 2014 and is currently a wholly-owned subsidiary of the Portfolio. The Subsidiary acts as an investment vehicle for the Portfolio to enable the Portfolio to gain exposure to certain types of commodity-linked derivative instruments. The Portfolio is the sole shareholder of the Subsidiary pursuant to a subscription agreement dated as of July 31, 2014, and it is intended that the Portfolio will remain the sole shareholder and will continue to control the Subsidiary. Under the Memorandum and Articles of Association of the Subsidiary, shares issued by the Subsidiary confer upon a shareholder the right to vote at general meetings of the Subsidiary and certain rights in connection with any winding-up or repayment of capital, as well as the right to participate in the profits or assets of the Subsidiary. All interfund balances and transactions have been eliminated in consolidation. As of October 31, 2016, the Portfolio’s net assets were $5,214,845,543, of which, $359,522,217, or 6.9%, represented the Subsidiary’s net assets.
B. Investment Valuation — The Portfolio’s valuation policy is to value investments at fair value.
C. Investment Income and Investments — Investment income includes interest income, dividend income, net of any foreign withholding taxes, less any amounts reclaimable, and securities lending income. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions from master limited partnerships (“MLPs”) are generally recorded based on the characterization reported on the MLP’s tax return. The Portfolio records its pro-rata share of the income/loss and capital gains/losses, allocated from the underlying partnerships and adjusts the cost basis of the underlying partnerships accordingly.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract. Upfront payments, if any, are made or received upon entering into a swap agreement and are reflected in the Consolidated Statement of Assets and Liabilities. Upfront payments are recognized over the contract’s term/event as realized gains or losses, with the exception of forward starting interest rate swaps whose realized gains or losses are recognized from the effective start date.
For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income.
D. Expenses — Expenses incurred directly by the Portfolio are charged to the Portfolio, and certain expenses incurred by the Trust that may not solely relate to the Portfolio are allocated to the Portfolio and the other applicable funds of the Trust on a straight-line and/or pro-rata basis, depending upon the nature of the expenses, and are accrued daily
20
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
E. Federal Taxes and Distributions to Shareholders — It is the Portfolio’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Portfolio is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually.
The Subsidiary is classified as a controlled foreign corporation under the Code. Therefore, the Portfolio is required to increase its taxable income by its share of the Subsidiary’s income. Net losses of the Subsidiary cannot be deducted by the Portfolio in the current period nor carried forward to offset taxable income in future periods.
Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Portfolio’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Portfolio’s net assets on the Consolidated Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
F. Foreign Currency Translation — The accounting records and reporting currency of the Portfolio are maintained in U.S dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Consolidated Statement of Operations within net change in unrealized gain (loss) on foreign currency translations. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Portfolio’s policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Portfolio, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the
21
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
October 31, 2016
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Portfolio’s portfolio investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities are valued at the last bid price for long positions and at the last ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
Private Investments — Private investments may include, but are not limited to, investments in private equity or debt instruments. The Investment Manager estimates the fair value of private investments based upon various factors, including, but not limited to, transactions in similar instruments, completed or pending third-party transactions in underlying investments or comparable entities, subsequent rounds of financing, recapitalizations, and other transactions across the capital structure, offerings in equity or debt capital markets, and changes in current and projected financial ratios or cash flows.
Underlying Funds (including Money Market Funds) — Underlying Funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share of the Institutional Share class on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Portfolio invests in Underlying Funds that fluctuate in value, the Portfolio’s shares will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Debt Securities — Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. As of the date of the financial statements, short-term debt obligations that matured in sixty days or less and did not exhibit signs of credit deterioration are valued using available market quotations as provided by a third party pricing vendor or broker. Prior to October 11, 2016, such securities were valued at amortized cost. With the exception of treasury securities of G8 countries (not held in money market funds), which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
i. Bank Loans — Bank loans (“Loans”) are interests in amounts owed by corporate, governmental, or other borrowers to lenders or lending syndicates. Loans are arranged through private negotiations between the borrower and one or more financial institutions (“Lenders”). The Portfolio’s investments in Loans are in the form of either participations in Loans (“Participations”) or assignments of all or a portion of Loans from third parties (“Assignments”). With respect to Participations, the Portfolio has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participations and only upon receipt by the Lender of the payments from the borrower. The Portfolio
22
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
generally has no right to enforce compliance by the borrower with the terms of the loan agreement with respect to Participations. Conversely, Assignments result in the Portfolio having a direct contractual relationship with the borrower, and the Portfolio may be permitted to enforce compliance by the borrower with the terms of the loan agreement.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Portfolio enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers.
Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or settlement price and typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
A forward foreign currency contract is a forward contract in which the Portfolio agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked-to-market daily at the applicable forward rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Portfolio deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Portfolio equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. Option Contracts — When the Portfolio writes call or put option contracts, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts.
Upon the purchase of a call option or a put option by the Portfolio, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
iv. Swap Contracts — Bilateral swap contracts are agreements in which the Portfolio and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between the Portfolio and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed
23
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
October 31, 2016
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, the Portfolio is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.
An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Portfolio’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Portfolio’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.
To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments. GSAM did not develop the unobservable inputs (examples include but are not limited to single source broker quotations, third party pricing, etc.) for the valuation of Level 3 Assets and Liabilities.
C. Fair Value Hierarchy — The following is a summary of the Portfolio’s investments and derivatives classified in the fair value hierarchy as of October 31, 2016:
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Fixed Income | ||||||||||||
Corporate Obligations | $ | — | $ | 457,646,061 | $ | — | ||||||
Bank Loans | — | 2,071,742 | 2,003,107 | |||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
North America | 3,605,986 | — | 2,453,108 | |||||||||
Exchange Traded Funds | 331,919,978 | — | — | |||||||||
Investment Companies | 4,257,785,616 | — | — | |||||||||
| Total | $ | 4,593,311,580 | $ | 459,717,803 | $ | 4,456,215 | ||||||
24
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Options Purchased | $ | — | $ | 24,039,946 | $ | — | ||||||
Forward Foreign Currency Exchange Contracts(b) | — | 12,191,892 | — | |||||||||
Futures Contracts(b) | 19,229,533 | — | — | |||||||||
| Total | $ | 19,229,533 | $ | 36,231,838 | $ | — | ||||||
| Liabilities | ||||||||||||
Forward Foreign Currency Exchange Contracts(b) | $ | — | $ | (1,771,149 | ) | $ | — | |||||
Written Options Contracts | — | (17,313,590 | ) | — | ||||||||
| Total | $ | — | $ | (19,084,739 | ) | $ | — | |||||
| (a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principle exchange or system on which they are traded, which may differ from country of domicile. |
| (b) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Consolidated Schedule of Investments.
| 4. INVESTMENTS IN DERIVATIVES |
The following table sets forth, by certain risk types, the gross value of derivative contracts as of October 31, 2016. These instruments were used as part of the Portfolio’s investment strategies and to obtain and/or manage exposure related to the risks below. The values in the table below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Portfolio’s net exposure.
| Risk | Consolidated Statements of Assets and Liabilities | Assets | Consolidated Statements of Assets and Liabilities | Liabilities | ||||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | $ | 12,191,892 | Payable for unrealized loss on forward foreign currency exchange contracts | $ | (1,771,149) | ||||||
Equity | Variation margin on certain derivative contracts; Investments, at value | 43,269,479 | (a) | Written Options, at value | (17,313,590) | |||||||
| Total | $ | 55,461,371 | $ | (19,084,739) | ||||||||
| (a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information section of the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statements of Assets and Liabilities. |
The following table sets forth, by certain risk types, the Portfolio’s gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended October 31, 2016. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments.
25
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
October 31, 2016
| 4. INVESTMENTS IN DERIVATIVES (continued) |
These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Consolidated Statement of Operations:
| Risk | Consolidated Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
| Interest rate | Net realized gain (loss) from swap contracts and futures contracts/Net change in unrealized gain (loss) on investments, swap contracts, futures contracts and written options | $ | (10,371,623 | ) | $ | 4,248,155 | 283 | |||||||
| Credit | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | (194,007 | ) | (143,234 | ) | 1 | ||||||||
| Currency | Net realized gain (loss) from investments, forward foreign currency exchange contracts and written options/Net change in unrealized gain (loss) on investments, forward foreign currency exchange contracts and written options | 16,174,361 | 5,851,516 | 15 | ||||||||||
| Equity | Net realized gain (loss) from investments, futures contracts and written options/Net change in unrealized gain (loss) on investments, futures contracts and written options | (131,339,274 | ) | 7,041,454 | 7,029 | |||||||||
| Commodity | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | 19,964,684 | (91,522 | ) | 1 | |||||||||
| Total | $ | (105,765,859 | ) | $ | 16,906,369 | 7,329 | ||||||||
| (a) | Average number of contracts is based on the average of month end balances for the fiscal year ended October 31, 2016. |
In order to better define its contractual rights and to secure rights that will help the Portfolio mitigate its counterparty risk, the Portfolio may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivatives counterparties. An ISDA Master Agreement is a bilateral agreement between the Portfolio and a counterparty that governs OTC derivatives (including forward foreign currency exchange contracts, and certain options and swaps), and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
Collateral and margin requirements differ between exchange traded derivatives and OTC derivatives. Margin requirements are established by the broker or clearing house for exchange-traded and centrally cleared derivatives (financial futures contracts, options and centrally cleared swaps) pursuant to governing agreements for those instrument types. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract-specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Portfolio and the counterparty. Additionally, the Portfolio may be required to post initial margin to the counterparty, the terms of which would be outlined in the confirmation of the OTC transaction.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Portfolio and cash collateral received from the counterparty, if any, is reported separately on the Consolidated Statement of Assets and Liabilities as receivables/payables for collateral on certain derivative contracts. Non-cash collateral pledged by the Portfolio, if any, is noted in the Consolidated Schedule of Investments. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to the Portfolio from its counterparties are not fully collateralized, contractually or otherwise, the Portfolio bears the risk of loss from counterparty nonperformance. The Portfolio attempts to mitigate counterparty risk by only entering into agreements with counterparties that the Investment Adviser believes to be of good standing and by monitoring the financial stability of those counterparties.
26
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| 4. INVESTMENTS IN DERIVATIVES (continued) |
Additionally, the netting of assets and liabilities and the offsetting of collateral pledged or received are based on contractual netting/set-off provisions in the ISDA Master Agreement or similar agreements. However, in the event of a default or insolvency of a counterparty, a court could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of setoff that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws.
The following tables set forth the Portfolio’s net exposure for derivative instruments that are subject to enforceable master netting arrangements or similar agreements as of October 31, 2016:
Derivative Assets(a) | Derivative Liabilities(a) | Net Derivative Asset (Liabilities) | Collateral (Received) Pledged(a) | Net Amount(b) | ||||||||||||||||||||||||||||||
| Counterparty | Options Purchased | Forward Currency Contracts | Total | Forward Currency Contracts | Options Written | Total | ||||||||||||||||||||||||||||
Barclays Bank PLC | $24,039,946 | $ | — | $ | 24,039,946 | $ | — | $ | (7,723,222 | ) | $ | (7,723,222 | ) | $ | 16,316,724 | $ | (15,310,000 | ) | $ | 1,006,724 | ||||||||||||||
Deutsche Bank AG | — | — | — | — | (9,590,368 | ) | (9,590,368 | ) | (9,590,368 | ) | 9,590,368 | — | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | — | 12,191,892 | 12,191,892 | (1,771,149 | ) | — | (1,771,149 | ) | 10,420,743 | — | 10,420,743 | |||||||||||||||||||||||
Total | $24,039,946 | $ | 12,191,892 | $ | 36,231,838 | $ | (1,771,149 | ) | $ | (17,313,590 | ) | $ | (19,084,739 | ) | $ | 17,147,099 | $ | (5,719,632 | ) | $ | 11,427,467 | |||||||||||||
| (a) | Gross amounts available for offset but not netted in the Consolidated Statement of Assets and Liabilities. |
| (b) | Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. Net amount excludes any over-collateralized amounts. |
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Portfolio, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Portfolio’s business affairs, including providing facilities, GSAM is entitled to a management fees, accrued daily and paid monthly, equal to an annual percentage rate of the Portfolio’s average daily net assets.
For the fiscal year ended October 31, 2016, the contractual and effective net management fee with GSAM were at the following rates:
| Contractual Management Rate | Effective Net Management Fee Rate*^(a) | |||||||||||||||||||||
First $2 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Management Fee Rate | ||||||||||||||||||
| 0.75% | 0.68% | 0.64% | 0.62% | 0.71% | 0.53% | |||||||||||||||||
| * | GSAM has agreed to waive a portion of its management fee payable by the Portfolio in an amount equal to any management fee it earns as an investment adviser to any of the affiliated funds in which the Portfolio invests through at least February 26, 2017. Prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. |
| ^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. |
| (a) | Reflects combined management fees paid to GSAM under the Agreement and the Subsidiary Agreement as defined below after waivers. |
The Portfolio invests in the Institutional Shares of the Goldman Sachs Financial Square Government Fund, Goldman Sachs High Yield Floating Rate Fund and the Goldman Sachs High Yield Fund, which are affiliated Underlying Funds. GSAM has agreed to waive a portion of its management fee payable by the Portfolio in an amount equal to the management fee it earns as an investment adviser to any of the affiliated Underlying Funds in which the Portfolio invests. For the fiscal year ended October 31, 2016, GSAM waived $9,043,802 of the Portfolio’s management fee.
GSAM also provides management services to the Subsidiary pursuant to a Subsidiary Management Agreement (the “Subsidiary Agreement”) and is entitled to a management fee accrued daily and paid monthly, equal to an annual percentage rate of 0.42% of the Subsidiary’s average daily net assets. In consideration of the Subsidiary’s management fee, and for as long as the
27
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
October 31, 2016
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Subsidiary Agreement remains in effect, GSAM has contractually agreed to waive irrevocably a portion of the Portfolio’s management fee in an amount equal to the management fee accrued and paid to GSAM by the Subsidiary under the Subsidiary Agreement. For the fiscal year ended October 31, 2016 GSAM waived $1,505,635 of the Portfolio’s management fee. This waiver represents an inter-fund transaction and, accordingly, has been eliminated in consolidation.
B. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Portfolio for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates of 0.04% of the average daily net assets of Institutional Shares.
C. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Portfolio (excluding acquired fund fees and expenses, transfer agency fees and expenses, taxes, dividend and interest expenses on short sales, interest, brokerage fees, shareholder meeting, litigation, indemnification and extraordinary expenses) to the extent such expenses exceed, on an annual basis, 0.164% of the average daily net assets of the Portfolio. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Portfolio is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. This “Other Expense” limitation will remain in place through at least February 26, 2017 and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. In addition, the Portfolio has entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Portfolio’s expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the fiscal year ended October 31, 2016, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Management Fee Waiver | Other Expense Reimbursements | Total Expense Reductions | ||||||||
| $ | 9,043,802 | $ | 120,353 | $ | 9,164,155 | |||||
D. Line of Credit Facility — As of October 31, 2016, the Portfolio participated in a $1,100,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates (“Other Borrowers”). This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Portfolio based on the amount of the commitment that has not been utilized. For the fiscal year ended October 31, 2016, the Portfolio did not have any borrowings under the facility.
E. Other Transactions with Affiliates — For the fiscal year ended October 31, 2016, Goldman Sachs earned $199,920 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Portfolio.
The table below shows the transactions in and earnings from investments in the Underlying Funds for the fiscal year ended October 31, 2016:
| Underlying Fund | Market Value 10/31/15 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Market Value 10/31/16 | Dividend Income | |||||||||||||||||||||
Goldman Sachs Financial Square Government Fund | $ | 2,658,651,455 | $ | 2,717,502,889 | $ | (1,619,950,050 | ) | $ | — | $ | — | $ | 3,756,204,294 | $ | 8,206,580 | |||||||||||||
Goldman Sachs High Yield Floating Rate Fund | 438,324,024 | 45,490,244 | (155,229,398 | ) | (6,789,274 | ) | 7,943,488 | 329,739,084 | 16,253,219 | |||||||||||||||||||
Goldman Sachs High Yield Fund | 412,820,199 | 15,119,378 | (241,934,485 | ) | (30,262,421 | ) | 16,099,567 | 171,842,238 | 14,943,396 | |||||||||||||||||||
Total | $ | 3,509,795,678 | $ | 2,778,112,511 | $ | (2,017,113,933 | ) | $ | (37,051,695 | ) | $ | 24,043,055 | $ | 4,257,785,616 | $ | 39,403,195 | ||||||||||||
28
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The following table provides information about the investment in the shares of issuers deemed to be affiliates of the Portfolio for the fiscal year ended October 31, 2016:
| Name of Affiliated Issuer | Market Value 10/31/15 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Market Value 10/31/16 | ||||||||||||||||||
Magnum Hunter Resources Corp. — Bank Loans | $ | 2,178,264 | $ | 2,154,581 | $ | (3,092,012 | ) | $ | (1,305,756 | ) | $ | 350,287 | $ | 285,364 | ||||||||||
Magnum Hunter Resources Corp. PI — Common Stock | — | 1,991,680 | — | — | 461,428 | 2,453,108 | ||||||||||||||||||
Total | $ | 2,178,264 | $ | 4,146,261 | $ | (3,092,012 | ) | $ | (1,305,756 | ) | $ | 811,715 | $ | 2,738,472 | ||||||||||
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended October 31, 2016, were $706,975,777 and $1,174,566,907, respectively.
| 7. TAX INFORMATION |
The tax character of distributions paid during the fiscal year ended October 31, 2016, in the amount of $216,014,287, was from ordinary income.
The tax character of distributions paid during the fiscal year ended October 31, 2015, in the amount of $21,152,095, was from ordinary income.
As of October 31, 2016, the components of accumulated earnings (losses) on a tax basis were as follows:
Undistributed ordinary income — net | $ | 74,226,732 | ||
Capital loss carryforwards: | ||||
Perpetual Short-Term | $ | (244,433,493 | ) | |
Perpetual Long-Term | (55,933,051 | ) | ||
Total capital loss carryforwards | $ | (300,366,544 | ) | |
Unrealized gains (losses) — net | 76,647,224 | |||
Total accumulated earnings (losses) net | $ | (149,492,588 | ) |
As of October 31, 2016, the Portfolio’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax Cost | $ | 5,027,490,182 | ||
Gross unrealized gain | 83,596,393 | |||
Gross unrealized loss | (29,561,031 | ) | ||
Net unrealized gains on securities | $ | 54,035,362 | ||
Net unrealized gain on other investments | 22,611,862 | |||
Net unrealized gains | $ | 76,647,224 |
29
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
October 31, 2016
| 7. TAX INFORMATION (continued) |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains/(losses) on regulated futures, foreign currency contracts and differences in the tax treatment of underlying fund investments.
In order to present certain components of the Portfolio’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Portfolio’s accounts. These reclassifications have no impact on the net asset value of the Portfolio and result primarily from differences in the tax treatment of swap transactions, foreign currency transactions and underlying fund investments.
| Paid-in Capital | Accumulated Net Realized Gain (Loss) | Undistributed Net Investment Income (Loss) | ||||||||
| $ | 2,231,270 | $ | (35,252,327 | ) | $ | 33,021,057 | ||||
GSAM has reviewed the Portfolio’s tax positions for all open tax years (the current and prior fiscal years), and has concluded that no provision for income tax is required in the Portfolio’s financial statements. These open tax years remain subject to examination and adjustment by tax authorities.
| 8. OTHER RISKS |
The Portfolio’s risks include, but are not limited to, the following:
Derivatives Risk — Loss may result from the Portfolio’s investments in derivative instruments. These instruments may be illiquid, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Portfolio. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. Losses from investments in derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the United States. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Portfolio invests. Loss may also result from the imposition of exchange controls, confiscations and other government restrictions by the United States or other governments, or from problems in registration, settlement or custody. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Portfolio has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Portfolio also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
Foreign Custody Risk — The Portfolio that invests in foreign securities may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Portfolio’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on the Portfolio’s ability to recover its assets if a Foreign Custodian enters bankruptcy. Investments in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in emerging market countries are very often undeveloped and may be considerably less well regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.
Geographic and Sector Risk — As a result of the Portfolio’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business, political,
30
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| 8. OTHER RISKS (continued) |
environmental or other development may affect the value of the Portfolio’s investments more than if its investments were not so focused.
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Portfolio will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with increasing rates are heightened given that interest rates are near historic lows, but may be expected to increase in the future with unpredictable effects on the markets and the Portfolio’s investments.
Investments in Other Investment Companies — As a shareholder of another investment company, including an exchange-traded fund (“ETF”), the Portfolio will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Portfolio. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Investments in the Underlying Funds — The Portfolio invests in Underlying Funds, and is subject to the risk factors associated with the investments of those Underlying Funds in direct proportion to the amount of assets allocated to each. As of October 31, 2016, the Portfolio invested 72.0%, 3.3% and 6.3% of its net assets in the Goldman Sachs Financial Square Government Fund (the “FSQ Government Fund”), Goldman Sachs High Yield Fund (the “High Yield Fund”) and the Goldman Sachs High Yield Floating Rate Fund (the “High Yield Floating Rate Fund”), respectively. Because the Portfolio focuses its assets in these Underlying Funds, the Portfolio has significant exposure to the risks associated with these Underlying Funds. The FSQ Government Fund intends to be a government money market fund which invests at least 99.5% of its net assets in cash, U.S. Government Securities, and/or repurchase agreements that are collateralized fully. The High Yield Fund invests, under normal circumstances, at least 80% of its Net Assets in high-yield, fixed income securities that, at the time of purchase, are non-investment grade securities. Under normal market conditions, the High Yield Fund may invest up to 20% of its Net Assets in investment grade fixed income securities, including securities issued or guaranteed by the U.S. government, its agencies, instrumentalities or sponsored enterprises. The High Yield Fund may also invest in derivatives, including credit default swap indices, interest rate futures and swaps. The High Yield Floating Rate Fund invests, under normal circumstances, at least 80% of its Net Assets in domestic or foreign floating rate loans and other floating or variable rate obligations rated below investment grade. Under normal conditions, the High Yield Floating Rate Fund may invest up to 20% of its Net Assets in fixed income instruments, regardless of rating, including fixed rate corporate bonds, government bonds, convertible debt obligations, and mezzanine fixed income instruments. The High Yield Floating Rate Fund may also invest in floating or variable rate instruments that are rated investment grade, and in preferred stock, repurchase agreements, cash securities, and derivative instruments such as credit default swaps on credit and loan indices and forward contracts, among others.
The Portfolio does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Portfolio within its principal investment strategies may represent a significant portion of an Underlying Fund’s net assets.
Large Shareholder Transactions Risk — The Portfolio may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include the Portfolio in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Portfolio. Such large shareholder redemptions may cause the Portfolio to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Portfolio’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in the Portfolio’s current expenses being allocated over a smaller asset base, leading to an increase in the Portfolio’s expense ratio. Similarly, large Portfolio share purchases may adversely affect the Portfolio’s performance to the extent that the Portfolio is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.
31
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
October 31, 2016
| 8. OTHER RISKS (continued) |
Liquidity Risk — The Portfolio may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the Portfolio will not be able to pay redemption proceeds within the allowable time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Portfolio may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity.
Market and Credit Risks — In the normal course of business, the Portfolio trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.
Non-Diversification Risk — The Portfolio is non-diversified, meaning that it is permitted to invest a larger percentage of its assets in fewer issuers than diversified mutual funds. Thus, the Portfolio may be more susceptible to adverse developments affecting any single issuer held in its portfolio, and may be more susceptible to greater losses because of these developments.
Short Position Risk — The Portfolio may enter into a short position through a futures contract, an option or swap agreement or through short sales of any instrument that the Portfolio may purchase for investment. Taking short positions involves leverage of the Portfolio’s assets and presents various risks. If the value of the underlying instrument or market in which the Portfolio has taken a short position increases, then the Portfolio will incur a loss equal to the increase in value from the time that the short position was entered into plus any related interest payments or other fees. Taking short positions involves the risk that losses may be disproportionate, may exceed the amount invested, and may be unlimited.
Tax Risk — The Portfolio will seek to gain exposure to the commodity markets primarily through investments in the Subsidiary and/or commodity index-linked structured notes, as applicable. Historically, the Internal Revenue Service (“IRS”) has issued private letter rulings (“PLRs”) in which the IRS specifically concluded that income and gains from investments in commodity index-linked structured notes or a wholly-owned foreign subsidiary that invests in commodity-linked instruments are “qualifying income” for purposes of compliance with Subchapter M of the Code. However, the Portfolio has not received a PLR, and is not able to rely on PLRs issued to other taxpayers. Additionally, the IRS has suspended the granting of such PLR, pending review of its position on this matter. The IRS also recently issued proposed regulations that, if finalized, would generally treat the Portfolio’s income inclusion with respect to a subsidiary as qualifying income only if there is a distribution out of the earnings and profits of a subsidiary that are attributable to such income inclusion. The proposed regulations, if adopted, would apply to taxable years beginning on or after 90 days after the regulations are published as final.
The IRS also recently issued a revenue procedure, which states that the IRS will not in the future issue PLRs that would require a determination of whether an asset (such as a commodity index-linked note) is a “security” under the Investment Company Act of 1940. The Portfolio has obtained an opinion of counsel that the Portfolio’s income from such investments should constitute “qualifying income.” However, no assurances can be provided that the IRS would not be able to successfully assert that the Portfolio’s income from such investments was not “qualifying income,” in which case the Portfolio would fail to qualify as a regulated investment company (“RIC”) under Subchapter M of the Code if over 10% its gross income was derived from these investments. If the Portfolio failed to qualify as a RIC, it would be subject to federal and state income tax on all of its taxable income at regular corporate tax rates. This would significantly adversely affect the returns to, and could cause substantial losses for, Portfolio shareholders.
32
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| 9. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Portfolio. Additionally, in the course of business, the Portfolio enters into contracts that contain a variety of indemnification clauses. The Portfolio’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Portfolio that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
| 10. SUBSEQUENT EVENTS |
Subsequent events after the Consolidated Statement of Assets and Liabilities date have been evaluated and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
| 11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| For the Fiscal Year Ended October 31, 2016 | For the Fiscal Year Ended October 31, 2015 | |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Shares sold | 159,963,476 | $ | 1,527,879,564 | 315,239,101 | $ | 3,261,513,640 | ||||||||||
Reinvestment of distributions | 22,361,727 | 216,014,287 | 2,125,831 | 21,045,722 | ||||||||||||
Shares redeemed | (100,184,535 | ) | (958,354,546 | ) | (23,128,874 | ) | (238,278,749 | ) | ||||||||
NET INCREASE | 82,140,668 | $ | 785,539,305 | 294,236,058 | $ | 3,044,280,613 | ||||||||||
33
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Goldman Sachs Trust and Shareholders of the
Goldman Sachs Tactical Tilt Overlay Fund:
In our opinion, the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, and the related consolidated statements of operations and of changes in net assets and the consolidated financial highlights present fairly, in all material respects, the financial position of the Goldman Sachs Tactical Tilt Overlay Fund (formerly the Goldman Sachs Tactical Tilt Implementation Fund) (the “Portfolio”), a portfolio of the Goldman Sachs Trust, at October 31, 2016, and the results of its operations, the changes in its net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These consolidated financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2016 by correspondence with the custodian, brokers, transfer agent of the underlying funds and the application of alternative auditing procedures where securities purchased confirmations had not been received, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
December 23, 2016
34
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Portfolio Expenses — Six Month Period Ended October 31, 2016 (Unaudited) |
As a shareholder of Institutional Shares of the Portfolio, you incur ongoing costs, including management fees and other Portfolio expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from May 1, 2016 through October 31, 2016, which represents a period of 184 days in a 366 day year.
Actual Expenses — The first line in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line in the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs
| Share Class | Beginning Account Value 5/1/16 | Ending Account Value 10/31/16 | Expenses Paid for the 6 months ended 10/31/16* | |||||||||
| Institutional Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,033.60 | $ | 3.12 | ||||||
Hypothetical 5% return | 1,000.00 | 1,022.07 | + | 3.10 | ||||||||
| * | Expenses are calculated using the Portfolio’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended October 31, 2016. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period was 0.61%. |
| + | Hypothetical expenses are based on the Portfolio’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
35
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Tactical Tilt Overlay Fund (the “Portfolio”) is an investment portfolio of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Portfolio at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Portfolio.
The Management Agreement was most recently approved for continuation until June 30, 2017 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 15-16, 2016 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to the Portfolio, such matters included:
| (a) | the nature and quality of the advisory, administrative, and other services provided to the Portfolio and the underlying funds in which it invests (the “Underlying Funds”) by the Investment Adviser and its affiliates, including information about: |
| (i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
| (ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
| (iii) | trends in employee headcount; |
| (iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
| (v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
| (b) | information on the investment performance of the Underlying Funds, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”) and a benchmark performance index; and general investment outlooks in the markets in which the Portfolio and the Underlying Funds invest; |
| (c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Portfolio’s peer group and/or benchmark index had high, medium, or low relevance given the Portfolio’s particular investment strategy; |
| (d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Portfolio; |
| (e) | fee and expense information for the Portfolio, including: |
| (i) | the relative management fee and expense level of the Portfolio as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
| (ii) | the Portfolio’s expense trends over time; and |
| (iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Portfolio, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
| (f) | with respect to the investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Portfolio; |
| (g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
| (h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Portfolio and the Trust as a whole to the Investment Adviser and its affiliates; |
36
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
| (i) | whether the Portfolio’s existing management fee schedule, together with the management fee schedules for the Underlying Funds, adequately addressed any economies of scale; |
| (j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Portfolio and/or the Underlying Funds, including the fees received by the Investment Adviser’s affiliates from the Portfolio and/or the Underlying Funds for transfer agency, portfolio trading, distribution and other services; |
| (k) | a summary of potential benefits derived by the Portfolio and/or the Underlying Funds as a result of their relationship with the Investment Adviser; |
| (l) | information regarding commissions paid by the Underlying Funds and broker oversight, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
| (m) | portfolio manager ownership of Portfolio shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
| (n) | the nature and quality of the services provided to the Portfolio and the Underlying Funds by their unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
| (o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Portfolio’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Portfolio’s distribution arrangements. They received information regarding the Portfolio’s assets and share purchase and redemption activity. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Portfolio shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Portfolio investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Portfolio and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Portfolio. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Portfolio and the Underlying Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the regulatory and control environment in which the Portfolio and its service providers operate, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Portfolio and the Underlying Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Portfolio, the Underlying Funds, and the Investment Adviser and its affiliates.
37
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Investment Performance
The Trustees also considered the investment performance of the Portfolio and the Underlying Funds. In this regard, they compared the investment performance of each Underlying Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2015, and updated performance information prepared by the Investment Adviser using the peer groups identified by the Outside Data Provider as of March 31, 2016. The information on each Underlying Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates, to the extent that the Underlying Fund had been in existence for those periods. The Trustees also reviewed The Portfolio’s and each Underlying Fund’s investment performance relative to its performance benchmark. They observed that the Portfolio had underperformed its LIBOR-based benchmark index by 6.63% for the one-year period ended March 31, 2016.
As part of this review, the Trustees considered the investment performance trends of the Portfolio and the Underlying Funds over time, and reviewed the investment performance of the Portfolio and each Underlying Fund in light of its investment objective and policies and market conditions. With respect to certain Underlying Funds, the Trustees also received information comparing the Funds’ performance to that of composites of accounts with comparable investment strategies managed by the Investment Adviser.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Portfolio and Underlying Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Portfolio’s and Underlying Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by the Portfolio thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Portfolio, which included both advisory and administrative services that were directed to the needs and operations of the Portfolio as a registered mutual fund.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Portfolio. The analyses provided a comparison of the Portfolio’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared the Portfolio’s overall net and gross expenses to a peer group and a category universe; and data comparing the Portfolio’s net expenses to the peer and category medians. The analyses also compared the Portfolio’s transfer agency, and custody fees, other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Portfolio.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. The Trustees noted that the Investment Adviser had agreed to waive a portion of its management fee in an amount equal to the entire management fee paid to the Investment Adviser as the investment adviser to the Portfolio’s wholly-owned subsidiary. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Portfolio, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Portfolio differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their Portfolio shares at any time if shareholders believe that the Portfolio fees and expenses are too high or if they are dissatisfied with the performance of the Portfolio.
Profitability
The Trustees reviewed the Investment Adviser’s revenues and pre-tax profit margins with respect to the Trust and the Portfolio. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Portfolio and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization had audited the expense allocation methodology and was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology and profitability analysis calculations. Profitability data for the Trust
38
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
and the Portfolio were provided for 2015 and 2014, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.
Economies of Scale
The Trustees considered the information that had been provided regarding the Investment Adviser’s profitability. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for the Portfolio at the following annual percentage rates of the average daily net assets of the Portfolio:
First $2 billion | 0.75 | % | ||
Next $3 billion | 0.68 | |||
Next $3 billion | 0.64 | |||
Over $8 billion | 0.62 |
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Portfolio and its shareholders as assets under management reach those asset levels. The Trustees considered the amount of assets in the Portfolio; the Portfolio’s recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer group; and the Investment Adviser’s undertaking to limit certain expenses of the Portfolio that exceed specified levels. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels. They also noted that the Investment Adviser had passed along savings to shareholders of the Portfolio, which had asset levels above at least the first breakpoint during the prior fiscal year.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Portfolio and/or the Underlying Funds as stated above, including: (a) transfer agency fees received by Goldman, Sachs & Co. (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Portfolio and/or the Underlying Funds; (c) research received by the Investment Adviser from broker-dealers in exchange for executing certain transactions on behalf of the Underlying Funds; (d) trading efficiencies resulting from aggregation of orders of the Portfolio and/or the Underlying Funds with those for other funds or accounts managed by the Investment Adviser; (e) the Investment Adviser’s ability to leverage the infrastructure designed to service the Portfolio and the Underlying Funds on behalf of its other clients; (f) the Investment Adviser’s ability to cross-market other products and services to Portfolio shareholders; (g) Goldman Sachs’ retention of certain fees as Portfolio Distributor; (h) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Portfolio and Underlying Funds; and (i) the possibility that the working relationship between the Investment Adviser and the Portfolio’s and Underlying Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Portfolio and Its Shareholders
The Trustees also noted that the Portfolio and/or the Underlying Funds receive certain potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Portfolio and/or the Underlying Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors because of the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers because of the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Portfolio and/or the Underlying Funds as a result of the size and reputation of the Goldman Sachs organization; (e) the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Portfolio and Underlying Funds because of the reputation of the Goldman Sachs organization; (g) the Portfolio’s access, through the Investment Adviser, to certain firmwide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (h) the Portfolio’s and Underlying Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that
39
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
many of the Portfolio’s shareholders invested in the Portfolio in part because of the Portfolio’s relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by the Portfolio were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and the Portfolio’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit the Portfolio and its shareholders and that the Management Agreement should be approved and continued with respect to the Portfolio until June 30, 2017.
40
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Trustees and Officers (Unaudited)
Independent Trustees
Name, | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Ashok N. Bakhru Age: 74 | Chairman of the Board of Trustees | Since 1996 (Trustee since 1991) | Mr. Bakhru is retired. He was formerly Director, Apollo Investment Corporation (a business development company) (2008-2013); President, ABN Associates (a management and financial consulting firm) (1994-1996 and 1998-2012); Trustee, Scholarship America (1998-2005); Trustee, Institute for Higher Education Policy (2003-2008); Director, Private Equity Investors — III and IV (1998-2007), and Equity-Linked Investors II (April 2002-2007).
Chairman of the Board of Trustees — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | 142 | None | |||||
Kathryn A. Cassidy Age: 62 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Diana M. Daniels Age: 67 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Herbert J. Markley Age: 66 | Trustee | Since 2013 | Mr. Markley is retired. Formerly, he was Executive Vice President, Deere & Company (an agricultural and construction equipment manufacturer) (2007-2009); and President, Agricultural Division, Deere & Company (2001-2007). Previously, Mr. Markley served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Jessica Palmer Age: 67 | Trustee | Since 2007 | Ms. Palmer is retired. She is Director, Emerson Center for the Arts and Culture (2011-Present); and was formerly a Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
41
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Trustees and Officers (Unaudited) (continued)
Independent Trustees
Name, | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Roy W. Templin Age: 56 | Trustee | Since 2013 | Mr. Templin is retired. He recently served as Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); and was formerly Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
Gregory G. Weaver Age: 65 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | Verizon Communications Inc. | |||||
42
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Trustees and Officers (Unaudited) (continued)
Interested Trustees*
Name, | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
James A. McNamara Age: 54 | President and Trustee | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993- April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | 140 | None | |||||
Alan A. Shuch Age: 66 | Trustee | Since 1990 | Advisory Director — GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994-May 1999).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 106 | None | |||||
| * | These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
| 1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of October 31, 2016. |
| 2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirement shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. One Trustee has been granted a waiver from the foregoing policies which permits him to serve until December 31, 2017. |
| 3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of October 31, 2016, Goldman Sachs Trust consisted of 92 portfolios (91 of which offered shares to the public); Goldman Sachs Variable Insurance Trust consisted of 14 portfolios; Goldman Sachs Trust II consisted of 17 portfolios (15 of which offered shares to the public); Goldman Sachs BDC, Inc., Goldman Sachs Private Middle Market Credit LLC, Goldman Sachs MLP Income Opportunities Fund, and Goldman Sachs MLP and Energy Renaissance Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 15 portfolios (eight of which offered shares to the public). Goldman Sachs Private Middle Market Credit LLC does not offer shares to the public. |
| 4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Portfolio’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
43
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 54 | Trustee and President | Since 2007 | Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 39 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Middle Market Lending LLC; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
Scott M. McHugh 200 West Street New York, NY 10282 Age: 45 | Treasurer, Senior Vice President and Principal Financial Officer | Since 2009 (Principal Financial Officer since 2013) | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (February 2007-December 2015); Assistant Treasurer of certain mutual funds administered by DWS Scudder (2005-2007); and Director (2005-2007), Vice President (2000-2005), and Assistant Vice President (1998-2000), Deutsche Asset Management or its predecessor (1998-2007).
Treasurer, Senior Vice President and Principal Financial Officer — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust. | |||
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Portfolio’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
| 1 | Information is provided as of October 31, 2016. |
| 2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Tactical Tilt Overlay Fund — Tax Information (Unaudited)
For the year ended October 31, 2016, 2.13% of the dividends paid from net investment company taxable income by the Goldman Sachs Tactical Tilt Overlay Fund qualify for the dividends received deduction available to corporations.
For the year ended October 31, 2016, 2.10% of the dividends paid from net investment company taxable income by the Goldman Sachs Tactical Tilt Overlay Fund qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
44
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.15 trillion in assets under supervision as of September 30, 2016, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman, Sachs & Co. subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| ∎ | Financial Square Treasury Solutions Fund1 |
| ∎ | Financial Square Government Fund1 |
| ∎ | Financial Square Money Market Fund2 |
| ∎ | Financial Square Prime Obligations Fund2 |
| ∎ | Financial Square Treasury Instruments Fund1 |
| ∎ | Financial Square Treasury Obligations Fund1 |
| ∎ | Financial Square Federal Instruments Fund1 |
| ∎ | Financial Square Tax-Exempt Money Market Fund2 |
Investor FundsSM
| ∎ | Investor Money Market Fund3 |
| ∎ | Investor Tax-Exempt Money Market Fund3,4 |
Fixed Income
Short Duration and Government
| ∎ | Enhanced Income Fund |
| ∎ | High Quality Floating Rate Fund |
| ∎ | Short-Term Conservative Income Fund5 |
| ∎ | Short Duration Government Fund |
| ∎ | Short Duration Income Fund |
| ∎ | Government Income Fund |
| ∎ | Inflation Protected Securities Fund |
Multi-Sector
| ∎ | Bond Fund |
| ∎ | Core Fixed Income Fund |
| ∎ | Global Income Fund |
| ∎ | Strategic Income Fund |
Municipal and Tax-Free
| ∎ | High Yield Municipal Fund |
| ∎ | Dynamic Municipal Income Fund |
| ∎ | Short Duration Tax-Free Fund |
Single Sector
| ∎ | Investment Grade Credit Fund |
| ∎ | U.S. Mortgages Fund |
| ∎ | High Yield Fund |
| ∎ | High Yield Floating Rate Fund |
| ∎ | Emerging Markets Debt Fund |
| ∎ | Local Emerging Markets Debt Fund |
| ∎ | Dynamic Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ | Long Short Credit Strategies Fund |
| ∎ | Fixed Income Macro Strategies Fund |
Fundamental Equity
| ∎ | Growth and Income Fund |
| ∎ | Small Cap Value Fund |
| ∎ | Small/Mid Cap Value Fund |
| ∎ | Mid Cap Value Fund |
| ∎ | Large Cap Value Fund |
| ∎ | Focused Value Fund |
| ∎ | Capital Growth Fund |
| ∎ | Strategic Growth Fund |
| ∎ | Focused Growth Fund |
| ∎ | Small/Mid Cap Growth Fund |
| ∎ | Flexible Cap Growth Fund |
| ∎ | Concentrated Growth Fund |
| ∎ | Technology Opportunities Fund |
| ∎ | Growth Opportunities Fund |
| ∎ | Rising Dividend Growth Fund |
| ∎ | Dynamic U.S. Equity Fund |
| ∎ | Income Builder Fund |
Tax-Advantaged Equity
| ∎ | U.S. Tax-Managed Equity Fund |
| ∎ | International Tax-Managed Equity Fund |
| ∎ | U.S. Equity Dividend and Premium Fund |
| ∎ | International Equity Dividend and Premium Fund |
Equity Insights
| ∎ | Small Cap Equity Insights Fund |
| ∎ | U.S. Equity Insights Fund |
| ∎ | Small Cap Growth Insights Fund |
| ∎ | Large Cap Growth Insights Fund |
| ∎ | Large Cap Value Insights Fund |
| ∎ | Small Cap Value Insights Fund |
| ∎ | International Small Cap Insights Fund6 |
| ∎ | International Equity Insights Fund |
| ∎ | Emerging Markets Equity Insights Fund |
Fundamental Equity International
| ∎ | Strategic International Equity Fund |
| ∎ | Focused International Equity Fund |
| ∎ | Asia Equity Fund |
| ∎ | Emerging Markets Equity Fund |
| ∎ | N-11 Equity Fund |
Select Satellite
| ∎ | Real Estate Securities Fund |
| ∎ | International Real Estate Securities Fund |
| ∎ | Commodity Strategy Fund |
| ∎ | Global Real Estate Securities Fund |
| ∎ | Dynamic Commodity Strategy Fund |
| ∎ | Dynamic Allocation Fund |
| ∎ | Absolute Return Tracker Fund |
| ∎ | Long Short Fund |
| ∎ | Managed Futures Strategy Fund |
| ∎ | MLP Energy Infrastructure Fund |
| ∎ | Multi-Manager Alternatives Fund |
| ∎ | Multi-Asset Real Return Fund |
| ∎ | Absolute Return Multi-Asset Fund |
| ∎ | Global Infrastructure Fund |
Total Portfolio Solutions
| ∎ | Global Managed Beta Fund |
| ∎ | Multi-Manager Non-Core Fixed Income Fund |
| ∎ | Multi-Manager U.S. Dynamic Equity Fund |
| ∎ | Multi-Manager Global Equity Fund |
| ∎ | Multi-Manager International Equity Fund |
| ∎ | Tactical Tilt Overlay Fund7 |
| ∎ | Balanced Strategy Portfolio |
| ∎ | Multi-Manager U.S. Small Cap Equity Fund |
| ∎ | Multi-Manager Real Assets Strategy Fund |
| ∎ | Growth and Income Strategy Portfolio |
| ∎ | Growth Strategy Portfolio |
| ∎ | Equity Growth Strategy Portfolio |
| ∎ | Satellite Strategies Portfolio |
| ∎ | Enhanced Dividend Global Equity Portfolio |
| ∎ | Tax-Advantaged Global Equity Portfolio |
| ∎ | Strategic Factor Allocation Fund |
| ∎ | Target Date 2020 Portfolio |
| ∎ | Target Date 2025 Portfolio |
| ∎ | Target Date 2030 Portfolio |
| ∎ | Target Date 2035 Portfolio |
| ∎ | Target Date 2040 Portfolio |
| ∎ | Target Date 2045 Portfolio |
| ∎ | Target Date 2050 Portfolio |
| ∎ | Target Date 2055 Portfolio |
| ∎ | GQG Partners International Opportunities Fund |
| 1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | Effective on March 31, 2016, the Goldman Sachs Financial Square Tax-Free Money Market Fund was renamed the Goldman Sachs Investor Tax-Exempt Money Market Fund. |
| 5 | Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund. |
| 6 | Effective at the close of business on February 5, 2016, the Goldman Sachs International Small Cap Fund was reorganized with and into the Goldman Sachs International Small Cap Insights Fund. |
| 7 | Effective on June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund. Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman, Sachs & Co. |
| *This | list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
TRUSTEES Ashok N. Bakhru, Chairman Kathryn A. Cassidy Diana M. Daniels Herbert J. Markley James A. McNamara Jessica Palmer Alan A. Shuch Roy W. Templin Gregory G. Weaver | OFFICERS James A. McNamara, President Scott M. McHugh, Principal Financial Officer, Senior Vice President and Treasurer Caroline L. Kraus, Secretary | |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser | |
Visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282
The reports concerning the Portfolio included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Portfolio in the future. These statements are based on Portfolio management’s predictions and expectations concerning certain future events and their expected impact on the Portfolio, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Portfolio. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Portfolio uses to determine how to vote proxies relating to portfolio securities and information regarding how the Portfolio voted proxies relating to portfolio securities for the most recent 12-month period ended June 30, are available (I) without charge, upon request by calling 1-800-526-7384; and (II) on the Securities and Exchange Commission (“SEC’’) web site at http://www.sec.gov.
The Portfolio files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolio’s Forms N-Q are available on the SEC’s web site at http://www.sec.gov within 60 days after the Portfolio’s first and third fiscal quarters. The Portfolio’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-621-2550 (for Institutional Shareholders).
Portfolio holdings and allocations shown are as of October 31, 2016 and may not be representative of future investments. Portfolio holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider the Portfolio’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about the Portfolio and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling 1-800-621-2550.
© 2016 Goldman Sachs. All rights reserved. 74899-TMPL-12/2016 TACTAR-16 / 1545
| ITEM 2. | CODE OF ETHICS. |
| (a) | As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”). |
| (b) | During the period covered by this report, no amendments were made to the provisions of the Code of Ethics. |
| (c) | During the period covered by this report, the registrant did not grant any waivers, including an implicit waiver, from any provision of the Code of Ethics. |
| (d) | A copy of the Code of Ethics is available as provided in Item 12(a)(1) of this report. |
| ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
| The registrant’s board of trustees has determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its audit committee. Gregory G. Weaver is the “audit committee financial expert” and is “independent” (as each term is defined in Item 3 of Form N-CSR). |
| ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Table 1 — Items 4(a) - 4(d). The accountant fees below reflect the aggregate fees billed by all of the Funds of the Goldman Sachs Trust and includes the Goldman Sachs Funds to which this certified shareholder report relates.
| 2016 | 2015 | Description of Services Rendered | ||||||||||
|
|
|
|
| ||||||||
Audit Fees: | ||||||||||||
| • PricewaterhouseCoopers LLP (“PwC”) | $ | 3,687,750 | $ | 3,662,967 | Financial Statement audits. | |||||||
Audit-Related Fees: | ||||||||||||
• PwC | $ | 240,875 | $ | 138,000 | Other attest services. | |||||||
Tax Fees: | ||||||||||||
• PwC | $ | 923,455 | $ | 848,676 | Tax compliance services provided in connection with the preparation and review of registrant’s tax returns. | |||||||
Table 2 — Items 4(b)(c) & (d). Non-Audit Services to the Goldman Sachs Trust’s service affiliates * that were pre-approved by the Audit Committee of the Goldman Sachs Trust pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.
| 2016 | 2015 | Description of Services Rendered | ||||||||||
|
|
|
|
| ||||||||
Audit-Related Fees: | ||||||||||||
• PwC | $ | 1,653,616 | $ | 1,653,616 | Internal control review performed in accordance with Statement on Standards for Attestation Engagements No. 16 and semi annual updates relating to withholding tax accrual for non-US jurisdictions. These fees are borne by the Funds’ Adviser. | |||||||
| * | These include the advisor (excluding sub-advisors) and any entity controlling, controlled by or under common control with the advisor that provides ongoing services to the registrant (hereinafter referred to as “service affiliates”). |
Item 4(e)(1) — Audit Committee Pre-Approval Policies and Procedures
Pre-Approval of Audit and Non-Audit Services Provided to the Funds of the Goldman Sachs Trust. The Audit and Non-Audit Services Pre-Approval Policy (the “Policy”) adopted by the Audit Committee of Goldman Sachs Trust (“GST”) sets forth the procedures and the conditions pursuant to which services performed by an independent auditor for GST may be pre-approved. Services may be pre-approved specifically by the Audit Committee as a whole or, in certain circumstances, by the Audit Committee Chairman or the person designated as the Audit Committee Financial Expert. In addition, subject to specified cost limitations, certain services may be pre-approved under the provisions of the Policy. The Policy provides that the Audit Committee will consider whether the services provided by an independent auditor are consistent with the Securities and Exchange Commission’s rules on auditor independence. The Policy provides for periodic review and pre-approval by the Audit Committee of the services that may be provided by the independent auditor.
De Minimis Waiver. The pre-approval requirements of the Policy may be waived with respect to the provision of non-audit services that are permissible for an independent auditor to perform, provided (1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues subject to pre-approval that was paid to the independent auditors during the fiscal year in which the services are provided; (2) such services were not recognized by GST at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee, pursuant to the pre-approval provisions of the Policy.
Pre-Approval of Non-Audit Services Provided to GST’s Investment Advisers. The Policy provides that, in addition to requiring pre-approval of audit and non-audit services provided to GST, the Audit Committee will pre-approve those non-audit services provided to GST’s investment advisers (and entities controlling, controlled by or under common control with the investment advisers that provide ongoing services to GST) where the engagement relates directly to the operations or financial reporting of GST.
Item 4(e)(2) – 0% of the audit-related fees, tax fees and other fees listed in Table 1 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X. In addition, 0% of the non-audit services to the GST’s service affiliates listed in Table 2 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X.
Item 4(f) – Not applicable.
Item 4(g) Aggregate Non-Audit Fees Disclosure
The aggregate non-audit fees billed to GST by PwC for the twelve months ended October 31, 2016 and October 31, 2015 were approximately $1,164,330 and $986,676 respectively. The aggregate non-audit fees billed to GST’s adviser and service affiliates by PwC for non-audit services for the twelve months ended December 31, 2015 and December 31, 2014 were approximately $14.4 million and $10.2 million respectively. The figures for these entities are not yet available for the twelve months ended December 31, 2016. With regard to the aggregate non-audit fees billed to GST’s adviser and service affiliates, the 2015 and 2014 amounts include fees for non-audit services required to be pre-approved [see Table 2] and fees for non-audit services that did not require pre-approval since they did not directly relate to GST’s operations or financial reporting.
Item 4(h) — GST’s Audit Committee has considered whether the provision of non-audit services to GST’s investment adviser and service affiliates that did not require pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the auditors’ independence.
| ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
| Not applicable. |
| ITEM 6. | SCHEDULE OF INVESTMENTS. |
| Schedule of Investments is included as part of the Report to Shareholders filed under Item 1. |
| ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
| Not applicable. |
| ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
| Not applicable. |
| ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
| Not applicable. |
| ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
| There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees. |
| ITEM 11. | CONTROLS AND PROCEDURES. |
| (a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
| (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
| ITEM 12. | EXHIBITS. |
| (a)(1) | Goldman Sachs Trust’s Code of Ethics for Principal Executive and Senior Financial Officers is incorporated by reference to Exhibit 12(a)(1) of the registrant’s Form N-CSR filed on July 8, 2015 for its International Equity Insights Funds. | |||
| (a)(2) | Exhibit 99.CERT | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith. | ||
| (b) | Exhibit 99.906CERT | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith. | ||
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| Goldman Sachs Trust | ||
| By: | /s/ James A. McNamara | |
| ||
James A. McNamara | ||
| President/Chief Executive Officer | ||
| Goldman Sachs Trust | ||
| Date: | January 5, 2017 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ James A. McNamara | |
| ||
James A. McNamara | ||
| President/Chief Executive Officer | ||
| Goldman Sachs Trust | ||
| Date: | January 5, 2017 | |
| By: | /s/ Scott McHugh | |
| ||
Scott McHugh | ||
| Principal Financial Officer | ||
| Goldman Sachs Trust | ||
| Date: | January 5, 2017 | |